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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1996
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/2256 https://doi.org/10.1080/096031096334006 |
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| 機構: | Singapore Management University |
| 語言: | English |