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R. W. Kolb and J. Okunev, “Utility Maximizing Hedge Ratios in the Extended Mean-Gini Framework,” Journal of Futures Markets, Vol. 13, No. 6, 1993, pp. 597-609. doi:10.1002/fut.3990130603

has been cited by the following article:

• TITLE: Hedging with Stock Index Options: A Mean-Extended Gini Approach

  AUTHORS: Haim Shalit, Doron Greenberg

  KEYWORDS: Hedge Ratios; Systematic Risk; Basis Risk; Risk Aversion; Mean-Gini

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1, February 28, 2013

  ABSTRACT: One of the more efficient methods to hedge portfolios of securities whose put options are not traded is to use stock index options. We use the mean-extended Gini (MEG) model to derive the optimal hedge ratios for stock index options. We calculate the MEG ratios for some main stocks traded on the Tel Aviv Stock Exchange and compare them to the minimum-variance hedge ratios. Computed for specific values of risk aversion, MEG hedge ratios combine systematic risk with basis risk. Our results show that increasing the risk aversion used in the computation reduces the size of the hedge ratio, implying that less put options are needed to hedge away each and every security.