The Limits to Minimum‐Variance Hedging
用日内数据构建实际最小方差对冲比率，比较多种条件对冲模型的表现，发现条件对冲模型降低组合方差的效果远低于实际最优水平，且偏差修正几乎无改善，原因在于综合对冲比率难以预测。
Abstract: In this paper, we compare the estimated minimum‐variance hedge ratios from a range of conditional hedging models with the ‘realized’ minimum variance hedge ratio constructed using intraday data. We show that the reduction in conditionally hedged portfolio variance falls far short of the ex post maximal reduction in variance obtained using the realized minimum variance hedge ratio. While this is partly due to systematic bias, correcting for this bias does little to improve hedging effectiveness. The poor performance of conditional hedging models is therefore more likely to be attributable to the unpredictability of the integrated hedge ratio.