Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?

This paper investigates out-of-sample performance of the naïve hedging strategy relative to that of the minimum variance hedging strategy, in which the covariance parameters are estimated from 18 econometric models. Hedging performance is compared across 24 futures markets. Our main findings suggest...

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Vydáno v:	Management science Ročník 61; číslo 12; s. 2870 - 2889
Hlavní autoři:	Wang, Yudong, Wu, Chongfeng, Yang, Li
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Linthicum INFORMS 01.12.2015 Institute for Operations Research and the Management Sciences
Témata:	Analysis of covariance Econometrics Estimation estimation error Futures market Hedges Hedging Hedging (Finance) hedging with futures Methods minimum variance hedge ratios model misspecification naïve strategy Parameter estimation Strategies
ISSN:	0025-1909, 1526-5501
On-line přístup:	Získat plný text
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