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References in periodicals archive ?
In Section 3, the optimal hedge ratio is obtained under the continuous-time process with memory based on the fractional order stochastic differential equations driven by fractional Brownian motion (FSDE-MV model).
the hedge placed in August 2008 is based on hedge ratio computed over September 2005 to July 2008 periods, and so on for the following months.
The optimal hedge ratio (OHR) is derived by maximizing the utility or by minimizing a certain risk measure.
The reported hedge ratios may vary significantly, depending on Fortum's actions on the electricity derivatives markets.
see Johnson, 2008) "The hedge analysis across all months gave an optimal hedge ratio of-1.
If the derivative and the hedged item are not very similar, the regression method will be superior, if the variance-minimizing hedge ratio deviates materially from -1 and is stable over time.
The retrospective Regression Method test of effectiveness is also defined by Equation (6), except that the retrospective test uses the actual hedge ratio the hedger implemented.
Section III presents the hedge ratio estimates using the conventional approach.
Benninga, Simon, Rafael Eldor and Itzhak Zilcha, "The Optimal Hedge Ratio in Unbiased Futures Markets.
Far more precise results can be obtained by basing hedge ratios on option-adjusted durations derived from state-of-the-art option-adjusted spread models that have been widely favored by money managers for several years.