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A note on estimating the benefit of a composite hedge

✍ Scribed by Donald Lien


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

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The extended Gini coefficient, C, is a measure of dispersion with strong theoretical merit for use in futures hedging. Yitzhaki (1982Yitzhaki ( , 1983) ) provides conditions under which a two-parameter framework using the mean and C of portfolio returns yields an efficient set consistent with second

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## Abstract Suppose that there is an information variable (with error correction variable being a special case) affecting the spot price but not the futures price. The estimated optimal hedge ratio is unbiased but inefficient when this variable is omitted. In addition, the resulting hedging effecti

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## Abstract An option hedge ratio is the sensitivity of an option price with respect to price changes in the underlying stock. It measures the number of shares of stocks to hedge an option position. This article presents a simple derivation of the hedge ratios under the Black‐Scholes option‐pricing