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1、EuropeanFinancialManagement,Vol.17,No.5,2011,806–834doi:10.1111/j.1468-036X.2010.00570.xHedgingwithTwoFuturesContracts:SimplicityPaysKatelijneA.E.Carbonez,VanThiTuongNguyenandPietSercuLeuvenSchoolofBusinessandEconomics,K.U.Leuven,Naamsestraat69,B-3000Leuven,BelgiumE-mails:Katelijne.Carbo
2、nez@econ.kuleuven.be;thituongvan.nguyen@econ.kuleuven.be;Piet.Sercu@econ.kuleuven.beAbstractWeproposetousetwofuturescontractsinhedginganagriculturalcommoditycommitmenttosolveeitherthestandarddeltahedgeortheroll-overissue.Mostcurrentliteratureondual-hedgestrategiesisbasedonastructuredmode
3、ltoreduceroll-overriskandissomehowdifficulttoapplyforagriculturalfuturescontracts.Instead,weproposetoapplyaregressionbasedmodelandanaiverulesofthumbfordual-hedgeswhichareapplicableforagriculturalcommodities.Thenaivedualstrategystemsfromthefactthatinalargesampleofagriculturalcommodities,D
4、eVille,DhaeneandSercu(2008)findthatGARCH-basedhedgesdonotperformaswellasOLS-basedonesandthatwecanavoidestimationerrorwithsuchasimplerule.Oursemi-naivehedgeratiosaredrivenfromtwoconditions:omittingexposuretospotpriceandminimisingthevarianceoftheunexpectedbasiseffectsontheportfoliovalues.W
5、efindthat,generally,(i)rebalancinghelps;(ii)thetwo-contracthedgingrulesdobetterthantheone-contractcounterparts,evenforstandarddeltahedgeswithoutrolling-over;(iii)simplicitypays:thenaiverulesarethebestone–forcornandwheatwithinthetwo-contractgroup,thesemi-naiverulesystematicallybeatstheoth
6、ersandGARCHperformsworsethanOLSforeitherone-contractortwo-contracthedgesandforsoybeansthetraditionalnaiveruleperformsnearlyaswellasOLS.Theseconclusionsarebasedonthetestsonunconditionalvariance(DieboldandMariano,1995)andthoseonconditionalrisk(GiacominiandWhite,2006).Keywords:hedgingstrate
7、gy,hedgeratio,convenienceyieldJELclassification:G11,Q11,Q14WegratefullyacknowledgefinancialsupportfromFWOandICM,andhelpwiththedatafromtheUSDA.CommentsfromVan’scommittee(MichaelBrennan,GeertDhaene,andGuntherWuyts)havesubstantiallyimprovedearlierdrafts.Wealsoreceivedusefulc
