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Optimal Hedging Strategy Re-visited
Ying QianRonald Duncan
其他書名
Acknowledging the Existence of Non-stationary Economic Time Series
出版World Bank Publications, 1994
URLhttp://books.google.com.hk/books?id=6R1cVVLICk4C&hl=&source=gbs_api
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註釋The optimal portfolio model for hedging commodity price and exchange rate risks is extended to nonstationary economic time series data. The new approach corrects the problem of unstable solutions often found with earlier models using economic time series that are nonstationary.