Multiscale Hedging with Crude Oil Futures Based on EMD Method

Table 5

Out-of-sample minimum-CVaR hedging.

	HR	CVaR	Variance	Returns	Utility^a
Panel A: constant hedge ratio and hedging performance
Original	0.5999	3.5606	1.6256	0.0052	−10.6767
Short	0.5201	3.4823	1.6442	−0.0278	−10.4748
Medium	0.5972	1.0861	0.1821	0.0084	−3.2499
Long	1.1014	0.3245	0.0485	0.0657	−0.9078
Panel B: dynamic hedge ratio and hedging performance
Original	0.6433	3.5904	1.4357	0.0025	−10.7687
Short	0.5984	3.6239	1.5070	−0.0291	−10.9009
Medium	0.7796	1.0846	0.1829	0.0070	−3.2469
Long	0.9933	0.3425	0.0440	0.0537	−0.9739

The 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).