A simple test of optimal hedging policy

作者：Chiu Wan Yi^*

来源：Statistics & Probability Letters, 2013, 83(4): 1062-1070.

DOI：10.1016/j.spl.2012.12.014

• Optimal hedge ratio
• Risk-return measure
• Sharpe ratio
• Hedging effectiveness
• Mean variance analysis

This paper investigates the equivalence between the optimal hedge ratio derived in a risk-return simplification and the optimal hedge ratio using mean variance analysis. In accordance with this relationship, we develop a simple regression-based test for evaluating the hedging effectiveness of the risk-return hedging. As a result, a t-test and an F-test are designed to examine the hedge ratio and hedging effectiveness, respectively. An example of hedging is also provided to illustrate this process.

• 出版日期2013-4