Post by Sapphire Capital on Aug 12, 2008 20:30:00 GMT 4
New Theory of Hedging
Moawia Alghalith
Abstract:
We present a general theory of hedging, that overcomes the limitations of the expected utility theory and the conventional mean-variance approach. In so doing, we introduce a hedger's multi-motive objective function.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1145419_code479760.pdf?abstractid=1145419&mirid=2
Moawia Alghalith
Abstract:
We present a general theory of hedging, that overcomes the limitations of the expected utility theory and the conventional mean-variance approach. In so doing, we introduce a hedger's multi-motive objective function.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1145419_code479760.pdf?abstractid=1145419&mirid=2