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The Minimum Semi-Variance Hedge For Food Manufacturers In Korea

Author

Listed:
  • Lee, Sang-Hak
  • Yang, Seung-Ryong
Abstract
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.

Suggested Citation

  • Lee, Sang-Hak & Yang, Seung-Ryong, 2000. "The Minimum Semi-Variance Hedge For Food Manufacturers In Korea," 2000 Annual meeting, July 30-August 2, Tampa, FL 21867, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea00:21867
    DOI: 10.22004/ag.econ.21867
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    References listed on IDEAS

    as
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