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minimum variance hedge ratio
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minimum variance hedge ratio
Encyclopedia
理学
证券组合前沿
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minimum variance hedge ratio
最小方差对冲比率
对冲比率为持有期货头寸数量与现货头寸数量的比率。当期货标的资产与现货资产相同时,对冲策略的最佳选择是对冲比率为1。但是,当期货标的资产不同于现货资产时,对冲比率为1的选择就不是最佳的。此时,最佳的选择是使被对冲后头寸价格变化的方差达到最小。
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