Portfolio Hedging and Basis Risk

Minimum variance hedged portfolios using futures are formed by taking the linear projection of spot price changes onto futures price movements as the hedge ratio. This unwittingly assumes that the underlying spot-futures price movements follow a cointegrated process, given that the spot and the futu...

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Bibliographic Details
Main Author: Lim, Kian Guan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1996
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2256
https://doi.org/10.1080/096031096334006
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Institution: Singapore Management University
Language: English