A Reformulation of the Portfolio Model of Hedging
重新审视了对冲的组合方法，提出用收益率而非价格水平估计对冲比率，实证发现收益率估计的对冲比率与1无显著差异，不支持组合对冲理论，需另寻风险降低理论的经验证据。
Abstract The portfolio approach to hedging assumes that the primary motivation for hedging is risk reduction. The paper reexamines the portfolio approach to hedging and respecifies the model in such a way that hedge ratios are estimated using returns rather than price levels. Using the same data set, hedge ratios estimated using price levels differ from one while hedge ratios using returns are found to be insignificantly different from one. The results do not support the portfolio approach to hedging. Therefore, one must look elsewhere for empirical support for the risk‐reduction theory of hedging.