✦ LIBER ✦

Efficient use of information, convergence adjustments, and regression estimates of hedge ratios

✍ Scribed by P. V. Viswanath

Publisher: John Wiley and Sons
Year: 1993
Tongue: English
Weight: 684 KB
Volume: 13
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990130105

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✦ Synopsis

Although the variance-minimizing hedge ratio has been modified to take into account return considerations, even these more complicated hedge ratio expressions can often be written as the sum of two terms, one of which is the variance-minimizing hedge ratio. See, for example, Kahl (1983) and Adler and Detemple (1988).

2This method is used by many researchers, for example, Ederington (1979);Hill and Schneeweis (1981);and Witt, Schroeder, and Hayenga (1987). In practice, other forms of the regression specification are used, such as the return formulation [Brown (1985)], but this does not affect the tenor of the argument presented here.

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