Minimum-variance hedging of Bitcoin inverse futures

【Author】 Deng, Jun; Pan, Huifeng; Zhang, Shuyu; Zou, Bin

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】We formulate an optimal hedging problem of Bitcoin inverse futures under the minimum-variance framework. We obtain the optimal hedging strategy in closed forms for both short and long hedges and compute hedging effectiveness under the optimal strategy. Our empirical analyses show that the optimal hedging strategy achieves superior effectiveness in reducing risk and outperforms the naive hedge in all scenarios.

【Keywords】Bitcoin; futures; hedging effectiveness; risk management

【发表时间】2020 13-Dec

【收录时间】2022-01-02

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