Hedging downside risk: futures vs. options
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- 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.
- Korsvold, P.E., 1994. "Hedging Efficiency of Forward and Option Currency Contracts," Working Papers 195, University of Sydney, School of Economics.
- 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.
- 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.
- Donald Lien & Yiu Kuen Tse, 2000. "Hedging downside risk with futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 163-170.
- 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.
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