The mean-variance hedging (MVH) with a significant risk-aversion coefficient is approximately equal to the minimum-variance (MV) hedge. However, how large the risk-aversion coefficient should be in practice? We determine the boundaries of risk-aversion coefficients that significantly distinguish the MV hedge and the MVH based on the different magnitudes of statistical errors in the presence of estimation risk. Based on the hedged variance, hedged return, and hedge ratio, we show that the MV hedge is statistically justified for MVH investor with an extensive range of risk-aversion coefficients. Additionally, the upper bound of the significant risk-aversion coefficient is positively related to the squared information ratio of futures.

具有显着风险厌恶系数的均值方差对冲（MVH）近似等于最小方差（MV）对冲。然而，实际操作中风险规避系数应该设置多大呢？我们根据存在估计风险时统计误差的不同程度，确定了显着区分 MV 对冲和 MVH 的风险厌恶系数的边界。基于对冲方差、对冲回报和对冲比率，我们表明 MV 对冲对于具有广泛风险规避系数的 MVH 投资者来说在统计上是合理的。此外，显着风险厌恶系数的上限与期货的信息比平方正相关。