In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio … model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were … misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years …

.e., the hedging effectiveness of currency futures markets. In particular, the present work demonstrates that the futures … markets for British pounds, German marks, and Japanese Yen have been as effective as hedging devices as have some of the long …

This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an … models used to date for the calculation of the optimal hedging ratio do not include the effect of discrete dividend payouts … presented here as an alternative approach to econometrics models yields superior results, both in hedging efficacy and in the …

strategy? Most studies identify four categories of tail risk management strategy: option-based hedging, asset allocation … and that define good tail risk management. Finally, we provide a comprehensive analysis of option-based tail hedging … strategies. The concepts of defensive, offensive, active and indirect tail hedging are discussed at length and examples of each …