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Hedging downside risk: futures vs. options

  • Lien, Donald
  • Tse, Yiu Kuen

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File URL: http://www.sciencedirect.com/science/article/B6W4V-42YFBMJ-4/2/4357a8112704fe576165154cd8be8e19
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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 10 (2001)
Issue (Month): 2 ()
Pages: 159-169

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Handle: RePEc:eee:reveco:v:10:y:2001:i:2:p:159-169
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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  1. 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.
  2. 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 843-55, June.
  3. Donald Lien & Yiu Kuen Tse, 2000. "Hedging downside risk with futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 163-170.
  4. 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, 06.
  5. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
  6. Korsvold, P.E., 1994. "Hedging Efficiency of Forward and Option Currency Contracts," Working Papers 195, University of Sydney, School of Economics.
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