Multiscale Hedging with Crude Oil Futures Based on EMD Method

Table 4

In-sample minimum-CVaR hedging.

	HR	CVaR	Variance	Returns	Utility^a
Panel A: constant hedge ratio and hedging performance
Original	0.6023	3.4572	1.3693	0.0009	−10.3706
Short	0.5020	3.3546	1.4361	−0.0197	−10.0834
Medium	0.5231	1.0589	0.1726	0.0092	−3.1674
Long	1.1938	0.3298	0.0417	0.0269	−0.9625
Panel B: dynamic hedge ratio and hedging performance
Original	0.6434	3.4132	1.3638	0.0083	−10.2313
Short	0.5881	3.3474	1.4927	0.0335	−10.0088
Medium	0.7792	0.8984	0.3062	0.2305	−2.4648
Long	0.9056	0.1838	0.0432	0.1463	−0.4050

^aThe utility is calculated by equation , where A is risk aversion level; by referring to Colon et al. [5], we set a moderate risk aversion level (A = 6).