downside risk

Hedging involves the transfer of price change risk of an asset fiom the owner of the asset to others who are willing to bear this risk. In this paper we investigate hedging a stock portfolio with stock index futures. Instead of defining the hedge ratio as the minimum variance hedge ratio, ...

International diversification has costs and benefits, depending on the degree of asset dependence. In light of theoretical research linking diversification and dependence, we examine international diversification with two dependence measures: correlations and extreme dependence. We document several findings. First, dependence has generally increased over time. Second, there is evidence of ...