Estimation of the Optimal Futures Hedge
提出一种估计最优期货对冲比率的技术，同时考虑风险最小化和预期收益，并允许现金与期货价格变化分布随时间变化，以国债期货对冲为例说明。
Standard approaches to designing a futures hedge often suffer from two major problems. First, they focus only on minimizing risk, so no account is taken of the impact on expected return. Second , in estima ting the hedge ratio, no allowance is made for time variation in the distribution of cash and futures price changes. This paper describes a technique for estimating the optimal futures hedge that corrects these problems and illustrates its use in hedging Treasury bonds with T-bond futures. Copyright 1988 by MIT Press.