摘要: The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures r... 展开 The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures returns to estimate the lower partial moments; the LPMs are then used to improve the estimation of optimal hedge ratio. The empirical results for hedging with Hangsheng index futures suggest that our estimation method could provide better hedging performance than the methods based on normal distribution, especially with the increase of investor's risk aversion. 收起