We thank Adam Axel-Müller, Laurent Fresard, Aneel Keswani, and Bill Ziemba for fruitful discussions on the topic of this paper. We further thank EFA 2007 conference participants for comments and suggestions. We remain solely responsible for any errors in the manuscript.
Optimal hedging with higher moments
Article first published online: 15 JUL 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 10, pages 909–944, October 2012
How to Cite
Brooks, C., Černý, A. and Miffre, J. (2012), Optimal hedging with higher moments. J. Fut. Mark., 32: 909–944. doi: 10.1002/fut.20542
- Issue published online: 1 AUG 2012
- Article first published online: 15 JUL 2011
- Manuscript Accepted: 7 JUN 2011
- Manuscript Received: 16 SEP 2010
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