Futures minimum variance hedge ratio determination: An ex-ante analysis

Ren Raw Chen; Dean Leistikow; Andrew Wang

doi:10.1016/j.najef.2019.02.002

Futures minimum variance hedge ratio determination: An ex-ante analysis

Ren Raw Chen^*
, Dean Leistikow
, Andrew Wang

^*此作品的通信作者

Fordham University
Taipei Fubon Commercial Bank

研究成果: 期刊稿件 › 文章 › 同行評審

5 引文斯高帕斯（Scopus）

摘要

Traditionally, futures Minimum Variance Hedge Ratios (MVHRs) are determined ex post. In this paper, we derive 3 increasingly realistic ex ante MVHRs, based on the carry cost and the Vasicek model. The hedging performance of the most realistic ex ante MVHR determination method is compared to, and found to be superior to, that of the traditional MVHR for the S&P 500 index, gold, and the EUR/USD exchange rate.

原文	英語
文章編號	100924
期刊	North American Journal of Economics and Finance
卷	54
DOIs	https://doi.org/10.1016/j.najef.2019.02.002
出版狀態	已出版 - 11 2020
對外發佈	是

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Publisher Copyright:
© 2019 Elsevier Inc.

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10.1016/j.najef.2019.02.002

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abstract = "Traditionally, futures Minimum Variance Hedge Ratios (MVHRs) are determined ex post. In this paper, we derive 3 increasingly realistic ex ante MVHRs, based on the carry cost and the Vasicek model. The hedging performance of the most realistic ex ante MVHR determination method is compared to, and found to be superior to, that of the traditional MVHR for the S\&P 500 index, gold, and the EUR/USD exchange rate.",

keywords = "Cost-of-carry, Ex-ante-hedge-ratio, MVHR, Vasicek",

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AU - Leistikow, Dean

AU - Wang, Andrew

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N2 - Traditionally, futures Minimum Variance Hedge Ratios (MVHRs) are determined ex post. In this paper, we derive 3 increasingly realistic ex ante MVHRs, based on the carry cost and the Vasicek model. The hedging performance of the most realistic ex ante MVHR determination method is compared to, and found to be superior to, that of the traditional MVHR for the S&P 500 index, gold, and the EUR/USD exchange rate.

AB - Traditionally, futures Minimum Variance Hedge Ratios (MVHRs) are determined ex post. In this paper, we derive 3 increasingly realistic ex ante MVHRs, based on the carry cost and the Vasicek model. The hedging performance of the most realistic ex ante MVHR determination method is compared to, and found to be superior to, that of the traditional MVHR for the S&P 500 index, gold, and the EUR/USD exchange rate.

KW - Cost-of-carry

KW - Ex-ante-hedge-ratio

KW - MVHR

KW - Vasicek

UR - https://www.scopus.com/pages/publications/85064077590

U2 - 10.1016/j.najef.2019.02.002

DO - 10.1016/j.najef.2019.02.002

M3 - 文章

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VL - 54

JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

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ER -

Futures minimum variance hedge ratio determination: An ex-ante analysis

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