Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects
提出一种利用金融期货组合对冲固定现货资产组合中利率风险的方法，给出了存在唯一零方差对冲的充要条件，并通过实证分析验证了风险降低效果。
ABSTRACT This study develops and tests a methodology for reducing interest rate risk in a fixed spot portfolio of assets and liabilities with default‐free cash flows. A minimum variance hedge is constructed by adding a portfolio of financial futures to the spot portfolio. Theorems are given which establish necessary and sufficient conditions for the existence of unique and zero‐variance hedges. The risk reduction characteristics of the methodology are demonstrated by an empirical analysis.