A Risk-Return Measure of Hedging Effectiveness: A Comment
指出Howard和D'Antonio提出的对冲有效性模型存在错误，该错误会导致实际选择最佳对冲工具时结果模糊。作者提出新衡量方法，消除了原模型错误并解决了模糊性。
This paper points out an error and implications of the error in the model of hedging effectiveness proposed by Howard and D'Antonio (1). The error would lead to ambiguous results if the model were used in practical applications to select the best hedging instrument. This paper proposes a new measure of hedging effectiveness that eliminates the error in the original model and resolves the ambiguity.