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On the optimal hedge under unbiased futures prices

โœ Scribed by Sergio H. Lence

Book ID
116101902
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
232 KB
Volume
47
Category
Article
ISSN
0165-1765

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n optimal hedge ratio is usually defined as the proportion of a cash position A that should be covered with an opposite position on a futures market. Under certain simplifying assumptions discussed below, optimal hedge ratios can be characterized by a simple rule: set the hedge ratio equal to the ra