Some Recent Developments in Futures Hedging
综述期货套期保值的最新进展，梳理从期望效用最大化到最小方差准则的理论基础，并讨论更精细的计量估计方法，适合想了解该领域前沿的学者。
The use of futures contracts as a hedging instrument has been the focus of much research. At the theoretical level, an optimal hedge strategy is traditionally based on the expected–utility maximization paradigm. A simplification of this paradigm leads to the minimum–variance criterion. Although this paradigm is quite well accepted, alternative approaches have been sought. At the empirical level, research on futures hedging has benefited from the recent developments in the econometrics literature. Much research has been done on improving the estimation of the optimal hedge ratio. As more is known about the statistical properties of financial time series, more sophisticated estimation methods are proposed. In this survey we review some recent developments in futures hedging. We delineate the theoretical underpinning of various methods and discuss the econometric implementation of the methods.