Multi-objective hedging model with the third central moment and the capital budget
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DOI: 10.1016/j.econmod.2013.09.048
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Cited by:
- Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
- Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
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Keywords
Futures hedging; The third central moment; Capital budget; Multi-objective programming;All these keywords.
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