A note on the relationship between the variability of the hedge ratio and hedging performance

Donald Lien

Journal of Futures Markets, 2010, vol. 30, issue 11, 1100-1104

Abstract: This note provides an analysis to examine the conjecture about the monotonic relationship between hedge ratio variability and hedging performance. Specific conditions are characterized to sustain the conjecture. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

Date: 2010
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