A note on estimating the benefit of a composite hedge
A note on estimating the benefit of a composite hedge
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DOI：
10.1002/fut.20329
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发表时间：
2008-07
影响因子：
1.9
通讯作者：
D. Lien
中科院分区：
文献类型：
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作者：
D. Lien
注意，当h2增加，Var （f2t - f1t）增加，或s2减少时，B - A增加。H2反映了第二份合约对冲剩余风险的有用性，即在第一份期货合约被用于对冲后，现货头寸的剩余风险。h2表示这个
DISCUSSIONNote that B A increases when h2 increases, Var (f2t f1t) increases, or s2 decreases. h2 reflects the usefulness of the second contract to hedge the residual risk, that is, the remaining risk of the spot position after the first futures contract has been applied for the purpose of hedging. A small h2 implies that