{"title":"Optimal Hedging Ratio Model with Skewness","authors":"Long-bin ZHANG, Chun-feng WANG, Zhen-ming FANG","doi":"10.1016/S1874-8651(10)60067-1","DOIUrl":null,"url":null,"abstract":"<div><p>In this article, we develop an optimal hedging ratio model with skewness and derive the analytical solution of the optimal hedging ratio which can degenerate to mean-variance hedging ratio when co-skewnesses of spot and futures returns become zero. The empirical results suggest that the hedging model with skewness performs better than the traditional mean-variance hedging model.</p></div>","PeriodicalId":101206,"journal":{"name":"Systems Engineering - Theory & Practice","volume":"29 9","pages":"Pages 1-6"},"PeriodicalIF":0.0000,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S1874-8651(10)60067-1","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems Engineering - Theory & Practice","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1874865110600671","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
In this article, we develop an optimal hedging ratio model with skewness and derive the analytical solution of the optimal hedging ratio which can degenerate to mean-variance hedging ratio when co-skewnesses of spot and futures returns become zero. The empirical results suggest that the hedging model with skewness performs better than the traditional mean-variance hedging model.
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