Hedging performance is compared across twenty-four futures markets. Our main findings suggest that it is difficult to find a strategy under the minimum variance framework that outperforms the naïve hedging strategy both consistently and significantly.
Feb 10, 2015
for all futures markets, the minimum variance hedging asset and its futures, the nai strategy would outperform the naïve strategy, because be significantly ...
Jan 23, 2015 · This paper investigates out-of-sample performance of the naïve hedging strategy relative to that of the minimum variance hedging strategy, ...
Our main findings suggest that it is difficult to find a strategy under the minimum variance framework that outperforms the naïve hedging strategy both ...
Hedging performance is compared across 24 futures markets. Our main findings suggest that it is difficult to find a strategy under the minimum variance ...
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We find that the naive strategy is significantly outperformed by several strategies, such as OLS and regime switching, for several futures markets when the ...
Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? ... This paper investigates out-of-sample performance of the naïve hedging strategy relative ...
A strategy derived from the minimum-variance framework also does not necessarily outperform a naïve hedging strategy (Wang et al., 2015).
2870). Yudong Wang, Chongfeng Wu, Li Yang. Does anything beat the naïve hedging strategy in hedg- ing with futures? The authors say no, regardless of different ...
Naive hedges are more effective than model-based hedges. For the Sharpe-ratio model, adding futures contracts decreases the utility of a hedger, as the risk- ...
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