A note on estimating the minimum extended Gini hedge ratio

Article Abstract:

The extended Gini coefficient, Lambda, measures dispersion with strong theoretical basis for application in futures hedging. Conditions under which a two-parameter framework utilizing the mean and Gamma of portfolio returns provides an efficient set consistent with second-order stochastic dominance have been proposed. The mean-Gamma framework needs no specific return distribution or utility function to provide this conclusion. However, Gamma must calculated iteratively which is inconvenient. Shalit had proposed the use of an instrumental variables slope estimator as the basis for the minimum extended Gini hedge ratio. However, this needs the questionable assumption that the rankings of futures prices be the same as those for the profits of the hedged ratio.

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A further note on the optimality of the OLS hedge strategy

Article Abstract:

The hedging effectiveness of the dynamic hedge strategy and the conventional OLS strategy are studied. The conventional OLS strategy is shown to be superior to dynamic hedge strategies.

United States, Financial management, Methods, Finance, Company financing, Report

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Estimating the optimal hedge ratio with focus information criterion

Article Abstract:

A model proposed for the extension of the estimation in error-correction-based minimum-variance ratio by including the lagged spot and future returns is presented.

Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis, Hedge funds

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