Construct · 1 fields · 1 citations

minimum-variance hedge ratio: a standalone construct

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Agricultural economics

futures position per unit of cash exposure that minimizes the variance of the hedged position, with effectiveness given by the variance reduction achieved.

In agricultural economics, minimum-variance hedge ratio refers to futures position per unit of cash exposure that minimizes the variance of the hedged position, with effectiveness given by the variance reduction achieved. This meaning comes from Ederington (1979) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

hedge3 fields · 3 citationsjingle · one word, three constructs effectiveness4 fields · 6 citationsjingle · one word, four constructs exposure6 fields · 13 citationsjingle · one name, six constructs

References

Ederington, L. H. (1979). The Hedging Performance of the New Futures Markets. The Journal of Finance, 34(1), 157-170. https://doi.org/10.1111/j.1540-6261.1979.tb02077.x

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