ON THE OPTIMAL HEDGE UNDER UNBIASED FUTURES PRICES

Authors
LENCE SH
Citation
Sh. Lence, ON THE OPTIMAL HEDGE UNDER UNBIASED FUTURES PRICES, Economics letters, 47(3-4), 1995, pp. 385-388
Citations number
8
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
47
Issue
3-4
Year of publication
1995
Pages
385 - 388
Database
ISI
SICI code
0165-1765(1995)47:3-4<385:OTOHUU>2.0.ZU;2-2
Abstract
We derive both necessary and sufficient conditions for optimal hedge r atios to be a constant proportion of the physical position, independen tly of risk-averse agents' utility functions. Assumptions frequently e mployed in hedging studies are discussed in relation to the conditions derived.