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A DYNAMIC MINIMUM-VARIANCE HEDGE
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DOI：10.2307/1243994.png)
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摘要
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The study presents an operational dynamic minimum variance hedge ratio (DMV) that allows for updates of both cash and futures positions. It is shown that DMV is more general than other operational models in the hedging literature, including the traditional static minimum-variance hedge ratio (SMV). Estimation of DMV is illustrated with a com storage problem. The example reveals relatively noticeable differences among the magnitudes of DMV and alternative operational hedge ratios. However, gains in hedging effectiveness from using DMV instead of the simpler SMV are negligible.
Keyword:
DYNAMIC HEDGING
MINIMUM VARIANCE HEDGE
RISK MANAGEMENT
STORAGE HEDGING
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