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Hedging downside risk: futures vs. options


  • Lien, Donald
  • Tse, Yiu Kuen


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  • Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
  • Handle: RePEc:eee:reveco:v:10:y:2001:i:2:p:159-169

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    References listed on IDEAS

    1. Donald Lien & Yiu Kuen Tse, 2000. "Hedging downside risk with futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 163-170.
    2. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    3. G. D. Hancock & P. D. Weise, 1994. "Competing derivative equity instruments: Empirical evidence on hedged portfolio performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(4), pages 421-436, June.
    4. Wayne Y. Lee & Ramesh K. S. Rao, 1988. "Mean Lower Partial Moment Valuation and Lognormally Distributed Returns," Management Science, INFORMS, vol. 34(4), pages 446-453, April.
    5. Korsvold, P.E., 1994. "Hedging Efficiency of Forward and Option Currency Contracts," Working Papers 195, University of Sydney, School of Economics.
    6. Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. " Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-855, June.
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    Cited by:

    1. Luca A Ricci & Marcos Chamon & Yuanyan S Zhang, 2011. "Country Insurance Using Financial Instruments," IMF Working Papers 11/169, International Monetary Fund.
    2. S. M. Sunoj & S. S. Maya, 2008. "The role of lower partial moments in stochastic modeling," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 223-242.
    3. Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
    4. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    5. Donald Lien & Michael Metz, 2001. "Corporate income tax and futures hedging," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(3), pages 308-315, September.
    6. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2008. "Relaxing standard hedging assumptions in the presence of downside risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 78-93, February.
    7. Calvo, Clara & Ivorra, Carlos & Liern, Vicente, 2015. "Finding socially responsible portfolios close to conventional ones," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 52-63.
    8. Su, EnDer, 2017. "Stock index hedging using a trend and volatility regime-switching model involving hedging cost," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 233-254.
    9. Demirer, Riza & Lien, Donald, 2003. "Downside risk for short and long hedgers," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 25-44.

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