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1、economicslettersELSEVIEREconomicsLetters47(1995)385-388OntheoptimalhedgeunderunbiasedfuturespricesSergioH.LenceDepartmentofEconomics,IowaStateUniversity,175HeadyHall,Ames,IA50011-1070,USAReceived18March1994;accepted12August1994AbstractWederivebothnec
2、essaryandsufficientconditionsforoptimalhedgeratiostobeaconstantproportionofthephysicalposition,independentlyofrisk-averseagents'utilityfunctions.Assumptionsfrequentlyemployedinhedgingstudiesarediscussedinrelationtotheconditionsderived.Keywords:Hedgin
3、g;Futures;HedgeratioJELclassification:G13I.IntroductionIntwoimportantcontributionstotheliteratureonfuturesmarkets,Benninga,EldorandZilcha(1983,1984)(BEZ)addressedtheissueofoptimalhedginginthepresenceofunbiasedfuturesprices.Thederivedsufficientconditi
4、onsfortheoptimalhedgetobeafixedproportionofthecashposition,regardlessoftheagent'sutilityfunction.BEZ'sresultshavebeencitedfrequently1tojustifyemployingsimplifiednormativehedgingmodels,e.g.minimum-variancehedgeratios.Thepurposeofthispaperistoinvestiga
5、tebothnecessaryandsufficientconditionsunderwhichtheoptimalhedgeisafixedproportionofthecashposition,independentlyoftherisk-averseagent'sutilityfunction.Thisissueisrelevantbecauseofthesizeableresearchonhedgingthatabstractsfromtheparticularutilityfuncti
6、onsofrisk-averse,expected-utilitymaximizers.Eitherexplicitlyorimplicitly,suchresearchhingesuponresultssuchasBEZ'stobeconsistentwiththewidelyacceptedexpected-utilitymaximizationparadigm.Ouranalysisrevealsthattheassumptionofnocorrelationisnecessarybutn
7、otsufficient,andthatindependenceissufficientbutnotnecessarytoyieldutility-freeoptimalhedgeratiosUpuntilandincluding1993,theSocialSciencesCitationIndexcontainedsixcitationsofBEZ(1983)and23citationsofBEZ(1984).0165-1765/95/$09.50~1995ElsevierScienceB.V
8、.AllrightsreservedSSD10165-1765(94)00575-3386S.H.Lence/EconomicsLetters47(1995)385-388inthepresenceofunbiasedfuturesprices.Althoughslightlyweakerthanindependence,separabilityissimilarlyshowntobestrongerthannecessary.Ourresultsalsoimplythat,despitepre
