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Erschienen in:
Introduction Kapitel lesen Erstes Kapitel lesen

2016 | OriginalPaper | Buchkapitel

32. Hedge Ratios: Theory and Applications

verfasst von : Cheng-Few Lee, John Lee, Jow-Ran Chang, Tzu Tai

Erschienen in: Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses

Verlag: Springer International Publishing

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Abstract

One of the best uses of derivative securities such as futures contracts is in hedging. In the past, both academicians and practitioners have shown great interest in the issue of hedging with futures. This is quite evident from the large number of articles written in this area.

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Vorheriges Kapitel Application of Simultaneous Equation in Finance Research: Methods and Empirical Results
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Fußnoten
1
Without loss of generality, we assume that the size of the futures contract is one.
 
2
Lence (1995) also derives the hedge ratio based on the expected utility. We will discuss it later in Sect. 32.2.3.
 
3
Our discussion of the opportunity costs is very brief. We would like to refer interested readers to Lence (1995) for a detailed discussion. We would also like to point to the fact that production can be allowed to be random as is done in Lence (1996).
 
4
For example, D 1,t s represents daily time scale and D 4,t s represents 8-day time scale.
 
Literatur
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Chen SS, Lee CF, Shrestha K (2001) On a mean-generalized semivariance approach to determining the hedge ratio. J Futures Mark 21:581–598CrossRef
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Metadaten
Titel
Hedge Ratios: Theory and Applications
verfasst von
Cheng-Few Lee
John Lee
Jow-Ran Chang
Tzu Tai
Copyright-Jahr
2016
Buch
Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses

Print ISBN: 978-3-319-38865-6

Electronic ISBN: 978-3-319-38867-0

Copyright-Jahr: 2016

DOI
https://doi.org/10.1007/978-3-319-38867-0_32