Estimation bias of futures hedging performance: A note

Abstract

The conventional approach applies an estimated optimal hedge ratio to evaluate and compare hedging performance. This note shows that the approach produces a biased result. Moreover, it tends to underestimate the true hedging performance. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:835–841, 2006

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 14 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.