All Questions
Tagged with optimal-hedge-ratio correlation
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How to construct a delta-neutral portfolio containing stocks using correlations?
I’m aware of the mean-variance framework where we construct a portfolio such that we attempt to minimise the variance and maximise returns.
What if instead we’re in a scenario where the main goal is ...
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Hedge 3 securities against 3 other securities
I have a portfolio of 6 securities, 3 long 3 short. I need to hedge them against each other so directional exposure = 0. How would I decide how to weight each security?
Is there a model to do this?
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Hedge Ratio Calculation
My question is if I have a spot position of a commodity e.g Naturals Gas I want to hedge, how would I determine, which futures e.g. quarterly, yearly I should pick. Should I just take the one it is ...
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hedging correlated instruments
If two instruments have a significant negative correlation but the percent change in the price of the instrument moving in positive direction is always more by a fraction than the one moving in ...
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