Title

Hedging Time-Varying Downside Risk

Publication Type

Journal Article

Publication Date

1998

Abstract

One of the major functions of derivative instruments is risk reduction. A long-standing tradition in the finance literature treated the risk with a two-sided notion. Standard deviation or variance are employed to measure risk. A recent survey by Adams and Montesi (1995), however, indicated that corporate managers are more concerned with variability in losses but not so much with variability in gains. This finding is consistent with Mao (1970). One may name the former variability downside risk and the latter upside potential (Lee and Rao, 1988).

Discipline

Economics

Research Areas

Econometrics

Publication

Journal of Futures Markets

Volume

18

Issue

1

First Page

705

Last Page

722

ISSN

0270-7314

Publisher

Wiley

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