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Estimation of the optimal hedge ratio, expected utility, and ordinary least squares regression

✍ Scribed by John Heaney; Geoffrey Poitras

Publisher
John Wiley and Sons
Year
1991
Tongue
English
Weight
664 KB
Volume
11
Category
Article
ISSN
0270-7314

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✦ Synopsis

n practice, commodity hedgers are faced with a fundamental question: what ratio 'However, despite the differences in the estimated hedge ratios, the returns to the hedge portfolios are not significantly different. This occurs despite the greater variability in the return to the portfolio based on the log utility hedge ratio.

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