Preference-free optimal hedging using futures

Preference-free optimal hedging using futures

This paper provides an alternative formulation and proof of the conditions under which optimal hedge ratios are independent of risk preference and points out that the conditions are satisfied by a wide class of models of spot and futures returns.

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Bibliographische Detailangaben
Veröffentlicht in:Economics letters 2000-02, Vol.66 (2), p.223-228
1. Verfasser: Rao, Vadhindran K
Format: Artikel
Sprache:eng
Schlagworte:
Capital market
Financial economics
Futures
Hedge ratio
Hedging
Preferences
Risk
Separation
Stock returns
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Beschreibung
Zusammenfassung:This paper provides an alternative formulation and proof of the conditions under which optimal hedge ratios are independent of risk preference and points out that the conditions are satisfied by a wide class of models of spot and futures returns.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(99)00195-0