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A further note on the optimality of the OLS hedge strategy

✍ Scribed by Donald Lien

Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
226 KB
Volume
28
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

This note considers the hedging effectiveness of a dynamic hedge strategy as compared to the conventional OLS strategy. The conditions for the superiority of the OLS strategy are identified. It is argued that these conditions are frequently satisfied and therefore one expects to find the dominance of the OLS strategy over any dynamic strategy in the empirical work. Β© 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:308–311, 2008

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