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Utility maximizing hedge ratios in the extended mean gini framework

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  • Robert W. Kolb
  • John Okunev

Abstract

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Suggested Citation

  • Robert W. Kolb & John Okunev, 1993. "Utility maximizing hedge ratios in the extended mean gini framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(6), pages 597-609, September.
  • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:6:p:597-609
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    Cited by:

    1. Jui-Cheng Hung & Chien-Liang Chiu & Ming-Chih Lee, 2006. "Hedging with zero-value at risk hedge ratio," Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 259-269.
    2. Darren Butterworth & Phil Holmes, 2005. "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 131-160, September.
    3. Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
    4. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    5. George E. Halkos & Apostolos S. Tsirivis, 2019. "Energy Commodities: A Review of Optimal Hedging Strategies," Energies, MDPI, vol. 12(20), pages 1-19, October.

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