Cuadernos de Economía
versão impressa ISSN 0121-4772
ARAGO MANZANA, Vicent. TEORÍAS SOBRE COBERTURA CON CONTRATOS DE FUTURO. Cuad. Econ. [online]. 2009, vol.28, n.50, pp. 157-190. ISSN 0121-4772.
This paper presents a reviewof themain theories on hedgingwith futures contracts, and the various estimation methods used to estimate the optimum hedge ratio. The most widely used approach to hedging in the extensive literature in this field of research is unquestionably that based on the theoretical model from portfolio theory. However, because of the hypotheses on which this model is based, related to the investor utility function and to the properties of the distribution function of returns, new approaches have arisen that attempt to overcome these restrictions; specifically, the approach based on the Gini coefficient, and on the concept of Lower Partial Moments, which is also dealt with in this paper.
Palavras-chave : futures; Optimum Hedge Ratio; Gini coefficient; Lower Partial Moments; GARCH models; cointegration; Minimum Hedge Ratio.