Minimum Variance Hedge Ratio

## Minimum Variance Hedge Ratio

##### Aug 31, 2019

This post briefly explains what’s the minimum variance hedge ratio and how to derive it in a cross hedge, where the asset to be hedged is not the same as underlying asset. The Hedge Ratio $h$ The hedge ratio $h$ is the ratio of the size of the hedging position to the exposure of the asset to be hedged: $N_A$: the units of asset held to be hedged ($A$), i. ...