Optimal Futures Hedge for Long-term Investors

[[abstract]]This paper presents a multi-period theoretical approach to deriving an optimal hedge ratio. Optimal futures hedge for long-term investors is dependent on: the financial assets that are available, their expected returns and risks, and the preference of investors. Long-term investors must consider not only the expected returns and risks today, but also the way in which the expected returns and risks may change over time. In the empirical analysis, we get a very different result relative to the static hedge ratio. The empirical results show that spot is comparatively safer than basis for both short- and long-term hedger, so hedger can afford to increase their stockholdings and reduce futures hedge.[[fileno]]2070101010006[[department]]計量財務金融學