Futures Cross-Hedging with a Stationary Basis
研究了当套期保值工具与风险之间的价差具有平稳性时，如何最优地进行交叉套期保值，推导了线性风险头寸的套期误差公式，并证明即使价差平稳性不确定，考虑均值回归也比忽略它更好。
Abstract When managing risk, frequently only imperfect hedging instruments are at hand. We show how to optimally cross-hedge risk when the spread between the hedging instrument and the risk is stationary . For linear risk positions we derive explicit formulas for the hedge error, and for nonlinear positions we show how to obtain numerically efficient estimates. Finally, we demonstrate that even in cases with no clear-cut decision concerning the stationarity of the spread, it is better to allow for mean reversion of the spread rather than to neglect it.