Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

Table 5

Comparison of the effectiveness results of out-of-sample hedging.

Model			Var		Variance reduction over static MV model (%)
Hedge portfolio B:   (the best effectiveness)
Unhedged	0		0.006090	0
MV	0.9348		0.001834	0.9093
SDE-MV	0.959789		0.001819	0.9108	1.63%
FSDE-MV	0.930363		0.001839	0.9088	−0.55%