{"id":"https://openalex.org/W2089499552","doi":"https://doi.org/10.1002/fut.20222","title":"Estimation bias of futures hedging performance: A note","display_name":"Estimation bias of futures hedging performance: A note","publication_year":2006,"publication_date":"2006-01-01","ids":{"openalex":"https://openalex.org/W2089499552","doi":"https://doi.org/10.1002/fut.20222","mag":"2089499552"},"language":"en","primary_location":{"id":"doi:10.1002/fut.20222","doi":"https://doi.org/10.1002/fut.20222","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20222","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5057737387","display_name":"Donald D. Lien","orcid":"https://orcid.org/0000-0002-0659-2831","observed_orcids":["https://orcid.org/0000-0002-0659-2831"]},"institutions":[{"id":"https://openalex.org/I45438204","display_name":"The University of Texas at San Antonio","ror":"https://ror.org/01kd65564","country_code":"US","type":"education","lineage":["https://openalex.org/I45438204"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Donald Lien","raw_affiliation_strings":["University of Texas, San Antonio, San Antonio, Texas"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Texas, San Antonio, San Antonio, Texas","institution_ids":["https://openalex.org/I45438204"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5057737387"],"corresponding_institution_ids":["https://openalex.org/I45438204"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":3.6828,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.95212321,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"26","issue":"8","first_page":"835","last_page":"841"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.7202000021934509,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.7202000021934509,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.18870000541210175,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.04479999840259552,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-hedging","display_name":"futures hedging","score":0.8460000157356262},{"id":"https://openalex.org/keywords/hedging-performance","display_name":"hedging performance","score":0.753000020980835},{"id":"https://openalex.org/keywords/optimal-hedge-ratio","display_name":"optimal hedge ratio","score":0.9480000138282776},{"id":"https://openalex.org/keywords/estimation-bias","display_name":"estimation bias","score":0.9729999899864197},{"id":"https://openalex.org/keywords/performance-evaluation","display_name":"performance evaluation","score":0.3919999897480011}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8233914971351624},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7107502222061157},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6028895378112793},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.577399730682373},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.504513144493103},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3240948021411896},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3108768165111542},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3050113916397095},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1002/fut.20222","doi":"https://doi.org/10.1002/fut.20222","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20222","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":5,"referenced_works":["https://openalex.org/W1972304166","https://openalex.org/W2046782869","https://openalex.org/W2078678304","https://openalex.org/W2082981845","https://openalex.org/W2315798686"],"related_works":["https://openalex.org/W2050363264","https://openalex.org/W2113558622","https://openalex.org/W1994212534","https://openalex.org/W2400463655","https://openalex.org/W1979376891","https://openalex.org/W2043830390","https://openalex.org/W2590998105","https://openalex.org/W2066614422","https://openalex.org/W1586358094","https://openalex.org/W2093025737"],"abstract_inverted_index":{"The":[0],"conventional":[1],"approach":[2,20],"applies":[3],"an":[4],"estimated":[5],"optimal":[6],"hedge":[7],"ratio":[8],"to":[9,28],"evaluate":[10],"and":[11],"compare":[12],"hedging":[13,32],"performance.":[14,33],"This":[15],"note":[16],"shows":[17],"that":[18],"the":[19,30],"produces":[21],"a":[22],"biased":[23],"result.":[24],"Moreover,":[25],"it":[26],"tends":[27],"underestimate":[29],"true":[31],"\u00a9":[34],"2006":[35,43],"Wiley":[36],"Periodicals,":[37],"Inc.":[38],"Jrl":[39],"Fut":[40],"Mark":[41],"26:835\u2013841,":[42]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}