Johnson L L. The theory of hedging and speculation in commodity futures[J]. Review of Economic Studies, 1960, 27(3):139-151.
[2]
Ederington L H. The hedging performance of the new futures markets [J]. The Journal of Finance, 1979, 34(1): 157-170.
[3]
Jong A D, Roon F D, Veld C. Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies [J]. The Journal of Futures Markets, 1997, 17(7):817-837. 3.0.CO;2-Q target="_blank">
[4]
Lien D, Tse Y K. Hedging time-varying downside risk[J]. The Journal of Futures Markets, 1998, 18(6): 705-722. 3.0.CO;2-R target="_blank">
[5]
Harris R D F, Shen J.Hedging and value at risk [J]. The Journal of Futures Markets, 2006, 26(4):369-390.
Chang J S, Shanker L. A risk-return measure of hedging effectiveness: a comment [J]. Journal of Financial and Quantitative Analysis, 1987, 22(3):373-376.
[10]
Markowitz H. Portfolio selection[J]. The Journal of Finance, 1952, 7(1): 77-91.
[11]
Cheung S, Kwan C, Yip P. The hedging effectiveness of options and futures: a Mean-Gini approach[J]. The Journal of Futures Markets, 1990, 10(1): 61-73.
[12]
Kolb R W, Okunev J. An empirical evaluation of the extended Mean-Gini coefficient for futures hedging[J]. The Journal of Futures Markets, 1992, 12(2):177-186.
[13]
Howard C T, D'Antonio L J. A risk-return measure of hedging effectiveness[J]. Journal of Financial and Quantitative Analysis, 1984, 19(1):101-112.
[14]
Hsin C W, Kuo J, Lee C F. A new measure to compare the hedging effectiveness of foreign currency futures versus options [J]. Journal of Futures Markets, 1994, 14(6): 685-707.
[15]
Kolb R W, Okunev J. Utility maximizing hedge ratios in the extended Mean-Gini framework [J]. The Journal of Futures Markets, 1993, 13(6): 597-609.
[16]
Chen S, Lee C, Shrestha K. On a Mean-Generalized semivariance approach to determining the hedge ratio[J]. The Journal of Futures Markets, 2001, 21(6):581-598.
[17]
Lien D. Optimal futures hedging: quadratic versus exponential utility functions [J]. The Journal of Futures Markets, 2008, 28(2):208-211.