作者：RUEFLI, TW; WIGGINS, RR
作者单位：University of Texas System; University of Texas Austin
摘要：In a recent article, Oviatt and Bauerschmidt (1991) investigated risk-return relationship by employing the square root of the mean square error of returns as a measure of risk and found no significant relationship existed in those terms. Ruefli (1991) has suggested that under the assumption of stable distributions there is the possibility of spurious correlation in estimating the risk-return relationship in mean-variance terms. This comment identifies the commonalities between mean square erro...
作者：ROBINS, RP; SCHACHTER, B
作者单位：Tulane University
摘要：The stochastic properties of discretely rebalanced option hedges have been studied extensively beginning with Black and Scholes (1973). In each analysis hedges were ''delta-neutral'' after rebalancing. We argue that the distributional properties of discretely rebalanced hedges are such that delta-based hedging is not the variance minimizing strategy. This paper obtains analytical expressions for the variance minimizing option hedge ratios. We also evaluate the hedge variance to assess the magn...
