✦ LIBER ✦

Estimation bias of futures hedging performance: A note

✍ Scribed by Donald Lien

Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 78 KB
Volume: 26
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20222

No coin nor oath required. For personal study only.

✦ Synopsis

The conventional approach applies an estimated optimal hedge ratio to evaluate and compare hedging performance. This note shows that the approach produces a biased result. Moreover, it tends to underestimate the true hedging performance.

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