Download This PaperMinimum-Variance Hedging of Bitcoin Inverse Futures
Accepted in Applied Economics
29 Pages Posted: 18 Mar 2020 Last revised: 7 Jul 2020
Date Written: June 24, 2020
Abstract
We formulate an optimal hedging problem of Bitcoin inverse futures under the minimumvariance framework. We obtain the optimal hedging strategy in closed forms for both short and long hedges, and compute hedging efficiency under the optimal strategy. Our empirical studies show that the optimal hedging strategy achieves superior effectiveness in reducing risk and beats the naıve hedge in all scenarios.
Keywords: Bitcoin, Futures, Hedging efficiency, Risk management
JEL Classification: G11, G32
Suggested Citation: Suggested Citation
Deng, Jun and Pan, Huifeng and Zhang, Shuyu and Zou, Bin, Minimum-Variance Hedging of Bitcoin Inverse Futures (June 24, 2020). Accepted in Applied Economics, Available at SSRN: https://ssrn.com/abstract=3542534 or http://dx.doi.org/10.2139/ssrn.3542534
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