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Estimating the extended mean‐gini coefficient for futures hedging · Study

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ArticleEstimating the extended mean‐gini coefficient for futures hedging

Donald D. Lien1993

Article1993

Estimating the extended mean‐gini coefficient for futures hedging

Donald D. Lien · Xiangdong Luo

46 citations·0/0 files stored·Journal of Futures Markets

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1979The Hedging Performance of the New Futures Markets 1983On an Extension of the Gini Inequality Index 1984A note on the calculation and interpretation of the Gini index 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference 1990The hedging effectiveness of options and futures: A mean‐gini approach 1992An empirical evaluation of the extended mean‐gini coefficient for futures hedging

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2005Hedging with zero-value at risk hedge ratio 1999A note on estimating the minimum extended Gini hedge ratio 1998Lower partial moment hedge ratios

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2001On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratioarticle · 5 shared references 1995Mean‐Gini hedging in futures marketsarticle · 5 shared references 1999A note on estimating the minimum extended Gini hedge ratioarticle · 5 shared references 1990The hedging effectiveness of options and futures: A mean‐gini approacharticle · 4 shared references 1992An empirical evaluation of the extended mean‐gini coefficient for futures hedgingarticle · 4 shared references 1993Utility maximizing hedge ratios in the extended mean gini frameworkarticle · 4 shared references

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Year1993

Typearticle

Published1993-09-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations46

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1002/fut.3990130607

openalex_workW2018875799

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