A Dynamic Minimum Variance Hedge
提出一种可同时更新现货和期货头寸的动态最小方差对冲比率，并用玉米储存案例展示其估计，发现虽与静态模型有差异，但效果提升可忽略。
Abstract The study presents an operational dynamic minimum variance hedge ratio (DMV) that allows for updates of both cash and futures positions. It is shown that DMV is more general than other operational models in the hedging literature. including the traditional static minimum‐variance hedge ratio (SMV). Estimation of DMV is illustrated with a corn storage problem. The example reveals relatively noticeable differences among the magnitudes of DMV and alternative operational hedge ratios. However, gains in hedging effectiveness from using DMV instead of the simpler SMV are negligible.