Swap variance hedging and efficiency: The role of high moments
提出基于互换方差（包含高阶矩）的对冲策略，利用标普500和WTI原油数据发现，该策略在市场波动剧烈或极度平静时优于传统方差对冲，建议更多或更少的空头期货头寸取决于市场状况。
Abstract In this article, we propose a new theoretical approach for developing hedging strategies based on swap variance ( SwV ). SwV is a generalized risk measure equivalent to a polynomial combination of all moments of a return distribution. Using the S&P 500 index and West Texas Intermediate (WTI) crude oil spot and futures price data, as well as simulations by varying the distribution of asset returns, we investigate the dynamic differences between hedge ratios and portfolio performances based on SwV (with high moments) and variance (without high moments). We find that, on average, the minimizing‐ SwV hedging suggests more short futures contracts than minimizing‐variance hedging; however, when market conditions deteriorate, the minimizing‐ SwV hedging suggests fewer short positions in futures. The superior posthedge performances of the mean‐ SwV hedged portfolios over the mean‐variance hedged portfolios in highly volatile or extremely calm markets confirm the efficiency of the mean‐ SwV hedging strategy.