Article ID: | iaor201522736 |
Volume: | 6 |
Issue: | 3 |
Start Page Number: | 187 |
End Page Number: | 197 |
Publication Date: | Sep 1983 |
Journal: | Journal of Financial Research |
Authors: | Kolb Robert W, Chiang Raymond, Gay Gerald D |
Keywords: | investment, statistics: empirical |
For hedging, financial and agricultural futures contracts differ in their usefulness. This paper presents a new hedging approach uniquely appropriate to financial futures that better fits the typical hedging situation confronted by those wishing to hedge interest rate risk. The superiority of this new hedging strategy is demonstrated empirically by comparing the strategy with several other methods currently in use.