Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts
分析了一个有长期商品供应承诺的代理人如何用短期期货合约滚动对冲，发现最优策略与风险厌恶程度无关，并在某些条件下与预期收益信念无关，最后用石油期货数据验证了方法。
This article analyzes the problem facing an agent who has a long-term commodity supply commitment and who wishes to hedge that commitment using short-maturity commodity futures contracts. As time evolves, the agent has to roll the hedge as old futures contracts mature and new futures contracts are listed. This gives rise to hedge errors. The optimal hedging strategy is characterized in a world where contracts of several different maturities coexist. The strategy is independent both of the agent's risk aversion and, under certain conditions, of beliefs about expected returns from holding futures contracts. The methodology is compared with approaches based on dynamic models of the term structure. It is tested on data from the oil futures market.