Gold Hedging by Mispriced Futures
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM

The correspondence between arbitrage sector pricing sector, efficiency of Futures contracts and the short-term hedging costs is analyzed in this paper. The existence of mispricing return of gold Futures has the implications for expected hedge return, hedge efficiency and hedge ratio selection. The crucial component of the risk-minimizing hedge portfolio’s total return is provided by the reversals of the initial mispricing. The comparison performance and risk deduction of short-term hedges portfolio between Spot Gold and gold Futures contract is explained in this paper.

Last updated at Tuesday, 8 August 2017 10:35 AM