A NOTE ON UTILITY-BASED FUTURES HEDGING PERFORMANCE MEASURE

被引：1

作者：

Lien, Donald ^{[1
]}

机构：

[1] Univ Texas San Antonio, Dept Econ, San Antonio, TX 78249 USA

来源：

JOURNAL OF FUTURES MARKETS | 2012年 / 32卷 / 01期

关键词：

D O I：

10.1002/fut.20510

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This note considers the estimator for the utility-based hedging performance. It shows that the estimator incurs a downward bias, regardless of whether the conventional mean-variance expected utility function or the more general risk-averse utility function is adopted. Consequently, the usefulness of the futures contract is under-estimated. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32: 92-98, 2012

引用

页码：92 / 97

页数：6

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