Optimal Hedging in Futures Markets with Multiple Delivery Specifications
推导了允许多种交割品质量的期货市场中的最优套期保值策略，并用芝加哥小麦期货数据验证其能显著降低收益率方差且均值回报相近。
ABSTRACT Nearly all futures contracts allow delivery of any of several qualities of the underlying asset. Consequently, the price of the futures contract is associated more with the price of the expected cheapest deliverable variety than with the price of the par‐delivery variety. The delivery specifications introduce a delivery risk for every hedger in the market. We derive the optimal hedging strategies in these markets. Their hedging effectiveness is evaluated for wheat futures contracts in Chicago. Hedging optimally would have significantly reduced the variance of the rates of return on hedges while yielding similar mean returns.