Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael - 2016
research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but … also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage … their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. This is a very useful and interesting …