Estimation bias of futures hedging performance: A note

Donald Lien

Journal of Futures Markets, 2006, vol. 26, issue 8, 835-841

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

Date: 2006
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