Exploiting skewness to build an optimal hedge fund with a currency overlay

European Journal of Finance

Volumn 11, Issue 5, 2005, Pages 445-462

  Adcock, C J ^a,b  

^a UNIVERSITY OF SHEFFIELD   (United Kingdom)

^b UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

Currency hedging; Multivariate skew normal distribution; Portfolio selection

Indexed keywords

EID: 27744432925     PISSN: 1351847X     EISSN: None     Source Type: Journal    
DOI: 10.1080/13518470500039527     Document Type: Article

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