A note on unbiasedness in ratio estimation
โ Scribed by T.J. Rao
- Publisher
- Elsevier Science
- Year
- 1981
- Tongue
- English
- Weight
- 814 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0378-3758
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
## 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