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- W4213178727 abstract "This paper presents a review of different theoretical approaches to the optimal futures hedge ratios. These approaches are based on minimum variance, mean-variance, expected utility, mean extended-Gini coefficient, semivariance and Value-at-Risk. Various ways of estimating these hedge ratios are also discussed, ranging from simple ordinary least squares to complicated heteroscedastic cointegration methods. Under martingale and joint-normality conditions, different hedge ratios are the same as the minimum variance hedge ratio. Otherwise, the optimal hedge ratios based on the different approaches are in general different and there is no single optimal hedge ratio that is distinctly superior to the remaining ones." @default.
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- W4213178727 date "2012-11-14" @default.
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- W4213178727 title "Futures Hedge Ratios: A Review" @default.
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- W4213178727 doi "https://doi.org/10.1007/978-1-4614-5360-4_74" @default.
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