Hedging Italian equity mutual fund returns during the recent financial turmoil: A duration-dependent Markov-switching approach
Hedging Italian equity mutual fund returns during the recent financial turmoil: A duration-dependent Markov-switching approach
This paper study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX.