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A note on the relationship between the variability of the hedge ratio and hedging performance
Author(s) -
Lien Donald
Publication year - 2010
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20455
Subject(s) - monotonic function , conjecture , hedge , econometrics , economics , mathematics , mathematical economics , combinatorics , mathematical analysis , biology , ecology
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