The Froot-Stein model revisited
Hogh, N.; Linton, Oliver; and Nielsen, J.P.
(2006)
The Froot-Stein model revisited.
Annals of Actuarial Science, 1 (1).
pp. 37-47.
ISSN 1748-4995
We investigate the model of Froot & Stein (1998), a model which has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. We also argue that their analysis is incorrect and incomplete. Specifically, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.
| Item Type | Article |
|---|---|
| Keywords | capital budgeting,CAPM,hedging,risk management,sharpe ratio |
| Departments |
Financial Markets Group STICERD Economics |
| DOI | 10.1017/S174849950000004X |
| Date Deposited | 22 Aug 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2697 |