Grieves, Robin; Marcus, Alan J.; Woodhams, Adrian - In: Review of Financial Economics 19 (2010) 1, pp. 1-7
Using Treasury bond and note futures to hedge fixed-income portfolios is complicated by the large number of bonds that are eligible to deliver against the contract. Grieves and Marcus [Grieves, R. and A. Marcus. (2005). Delivery options and Treasury bond futures hedge ratios. Journal of...
