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Hedge period length and Ex-ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges

✍ Scribed by Bruce A. Benet

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 592 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120205

No coin nor oath required. For personal study only.

✦ Synopsis

Support from the DePaul College of Commerce summer research grants program is gratefully 'Data are obtained from the IMM Yearbook, the CRB Commodity Yearbmk, and The Wall Street 'For a discussion of the various theoretical drawbacks of the mean-variance (risk-minimizing) acknowledged.

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Beta-Moan-0.84118 STD -2 7 0 6 8 STD = 0.00570 0 9, Beta -Moan -0.94924 STD -0.06408 -Jj l ' I ' I ' I ' / ' l ' l ' I ' l ' l ' I ' l ' 1 ' I B Four-Week Ex Post Hedging Horizon 26 Week Estimation Period