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1、EuropeanEconomicReview37(1993)949-960.North-HollandOptimalhedginginafuturesmarketwithbackgroundnoiseandbasisrisk*EricBriysGroupeHEC,Jouy-en-Josas,FranceMichelCrouhyGroupeHEC,Jouy-en-Josas,FranceHarrisSchlesingerUniversityofAlabama,TuscaloosaAL,USAReceivedApril19
2、92,finalversionreceivedJanuary1993Thispaperexamineshedgingbehaviorinanincompletemarketinwhichthereexistsanunhedgeableanduninsurableindependentbackgroundrisk.Inthecaseofabasisriskthatsatisfiestheregressibilityproperty,thebackgroundriskmightbepartlyendogenous.Back
3、-groundriskgenerallyhasanambiguouseffectontheoptimalhedgeratio.However,ifpreferencesexhibitstandardriskaversionandthebackgroundriskisfullyexogenous,thequalitativeeffectoftheaddedbackgroundriskisdeterminateanddependsonthedirectionofanybiasinthefuturesmarket.Inall
4、cases,thespeculativecomponentofthehedgeratioisreducedinthepresenceofbackgroundrisk.Whenthebackgroundriskisabasisriskandfuturespricesexhibitnormalbackwardation,thisqualitativeeffectneednothold,anditdependsinpartonthedirectionofregressabilityforspotandfuturesprice
5、s.1.IntroductionMostmodelsonoptimalhedgingofagivenriskassumethatthedecisionmakerswealthprospectcontainsonlyasinglesourceofuncertainty.Suchaframeworkisobviouslyatoddswithamorerealisticenvironmentinwhichhedgersmustcopewithmultiplerisks.Indeedthehedgingdecisionisge
6、nerallynotseparablefromotherportfoliodecisions.Forexample,manyrisksareendogenoustotheindividualsoptimalassetportfolioandtheirCorrespondenceto:ProfessorH.Schlesinger,DepartmentofFinance,UniversityofAlabama,Tuscaloosa,AL35487,USA.*TheauthorsthankBernardDumas,Louis
7、Eeckhoudt,WayneKelly,participantsattheChicagoBoardofTradeEuropeanResearchSymposiuminParisandtwoanonymousrefereesforhelpfulcommentsonapreliminaryversionofthispaper.AninterestingexceptionisthepaperbyAdlerandDetemple(1987).00142921/93/$06.0001993-ElsevierSciencePub
8、lishersB.V.Allrightsreserved950E.Bri);setal.,Optimalhedginginafuturesmarkethedgeability(orlackthereof)isobviouslyachoiceofthedecisionmaker.Insuchasetting,aportfoliomi
