Hedging Interest Rate Risk with Futures Portfolios Under Full-Rank Assumptions
提出一种只需估计一个参数的全秩协方差矩阵，用于构建利率敏感资产现货组合的期货对冲组合，相比久期模型在小规模对冲中方差更小。
A spot portfolio of rate-sensitive assets can be hedged by a portfolio of interest-sensitive futures contracts. The hedge ratios of minimum-variance portfolios are unique when the fixed cash flows of underlying instruments are linearly independent and when the covari? ance matrix of unexpected changes in spot rates over the term of the cash flows is of full rank. Hilliard's (1984) full-rank model has produced smaller portfolio variances than a duration model in a short-term hedging context. However, the methodology typically re? quires extensive econometric analysis. This paper develops a structured covariance matrix of full rank that requires only one parameter estimate. Hedging examples are provided.