Financial Engineering Estimation Methods of Minimum Risk Hedge Ratio
نویسندگان
چکیده
منابع مشابه
Financial Engineering Estimation of Minimum Risk Hedge Ratio
In this paper, the financial engineering minimum risk-based portfolio hedging model is first analyzed. It is then followed by the investigation on various major estimation methods for the minimum risk hedge ratio. The results revealed in the current study show that the HR obtained by the ordinary least squares (OLS) model is maximal and the out-of-sample hedging performance is the best; however...
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When using derivative instruments such as futures in order to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio, which can be estimated by regressing the spot market return on the futures market return u...
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ژورنال
عنوان ژورنال: Systems Engineering Procedia
سال: 2012
ISSN: 2211-3819
DOI: 10.1016/j.sepro.2011.10.027