Multi-objective hedging model with the third central moment and the capital budget

The third central moment and the capital budget are two important factors in designing the optimal hedge strategy. This paper investigates the problem of futures hedging under the third central moment and the capital budget. Based on the multi-objective programming, a multi-objective hedging model w...

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Vydáno v:	Economic modelling Ročník 36; s. 213 - 219
Hlavní autor:	Fu, Junhui
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Amsterdam Elsevier B.V 01.01.2014 Elsevier Science Ltd
Témata:	Budgeting Capital budget Capital budgeting Decision making models Economic models Futures hedging Hedges Hedging Investment policy Mathematical problems Mathematical programming Multi-objective programming Objectives Programming Studies The third central moment Capital budget Futures hedging Multi-objective programming The third central moment
ISSN:	0264-9993, 1873-6122
On-line přístup:	Získat plný text
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