文章基本信息

标题：THE MINIMUM SEMI-VARIANCE HEDGE FOR FOOD MANUFACTURERS IN KOREA
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作者：Lee, Sang-Hak ; Yang, Seung-Ryong
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2000
期号：suppl
出版社：Journal of Agribusiness
摘要：This paper derives downside risk minimizing hedge ratios for Korean food manufacturers who face commodity price risks and exchange rate risk simultaneously. The results show that the minimum semivariance hedge (MSVH) effectively reduces risks. The MSVH rule is evidently more efficient than the conventional minimum variance hedge.