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• W3121791330 abstract "Abstract: In this paper, we compare the estimated minimum‐variance hedge ratios from a range of conditional hedging models with the ‘realized’ minimum variance hedge ratio constructed using intraday data. We show that the reduction in conditionally hedged portfolio variance falls far short of the ex post maximal reduction in variance obtained using the realized minimum variance hedge ratio. While this is partly due to systematic bias, correcting for this bias does little to improve hedging effectiveness. The poor performance of conditional hedging models is therefore more likely to be attributable to the unpredictability of the integrated hedge ratio." @default.
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• W3121791330 date "2010-06-01" @default.
• W3121791330 modified "2023-10-16" @default.
• W3121791330 title "The Limits to Minimum-Variance Hedging" @default.
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• W3121791330 doi "https://doi.org/10.1111/j.1468-5957.2009.02170.x" @default.
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