Financial Engineering Estimation of Minimum Risk Hedge Ratio
نویسندگان
چکیده
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, the hedging effectiveness is not sufficiently stable for both the out-of-sample and in-sample estimation. © 2011. Selection and peer-review under responsibility of Desheng Dash Wu Copyright transferred and reserved with RiskLab.
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