Chang, Carolyn W; Chang, Jack S K; Fang, Hsing - In: Journal of Financial Research 19 (1996) 3, pp. 309-26
We investigate the effect of marking-to-market on an optimal futures hedge under stochastic interest rates. An intertemporal optimal hedge ratio that accounts for basis risk and marking-to-market is derived. This ratio includes all previous hedge ratios, with constant interest rates as special...
