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.

具有显着风险规避系数的平均方差套期保值（MVH）大约等于最小方差（MV）套期保值。但是，实际上，风险规避系数应为多少？我们根据存在估计风险的统计误差的不同大小，确定明显区分MV套期保值和MVH的风险规避系数的边界。基于对冲方差，对冲收益和对冲比率，我们显示MV对冲对于MVH投资者在统计上是合理的，具有广泛的风险规避系数。此外，重大风险规避系数的上限与期货的信息比率的平方成正相关。