Composite hedge and utility maximization for optimal futures hedging
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DOI: 10.1016/j.iref.2020.03.002
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Cited by:
- Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
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Keywords
Composite hedge; Minimum variance objective; Expected utility maximization; Risk aversion; MCS test;All these keywords.
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