The Economic Value of Minimum‐Variance Hedges
检验了更优的最小方差对冲估计的经济收益，发现其价值微乎其微，而放松标准假设后的最优对冲与最小方差对冲差异显著，建议研究重点应转向放松假设而非追求更优估计。
Abstract The present article examines the potential economic gains from “better” minimum‐variance hedge (MVH) estimates, focusing on the assumptions that yield MVHs consistent with expected‐utility maximization. It is found that the economic value of “better” MVH estimates is negligible, and that optimal hedges are substantially different from MVHs when the usual MVH restrictions are relaxed. Among other things, findings suggest that the hedging research's recent emphasis on “better” MVHs has been a waste of resources. Investigating the consequences of relaxing the standard MVH assumptions seems to be much more important than recent literature contributions.