A further note on the optimality of the OLS hedge strategy

Donald Lien

Journal of Futures Markets, 2008, vol. 28, issue 3, 308-311

Abstract: This note considers the hedging effectiveness of a dynamic hedge strategy as compared to the conventional OLS strategy. The conditions for the superiority of the OLS strategy are identified. It is argued that these conditions are frequently satisfied and therefore one expects to find the dominance of the OLS strategy over any dynamic strategy in the empirical work. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:308–311, 2008

Date: 2008
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