A note on utility‐based futures hedging performance measure |
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Authors: | Donald Lien |
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Institution: | The Department of Economics, University of Texas, San Antonio, One UTSA Circle, San Antonio, TX |
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Abstract: | 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. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark |
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