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Mean-variance hedging with basis risk

Xue, XL; Zhang, JG; Weng, CG

Weng, CG (reprint author), Univ Waterloo, Dept Stat & Actuarial Sci, M3-200 Univ Ave West, Waterloo, ON N2L 3G1, Canada.

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019; 35 (3): 704

Abstract

Basis risk arises in a number of financial and insurance risk management problems when the hedging assets do not perfectly match the underlying asset ......

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