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Tagged with optimal-hedge-ratio forward
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Minimum variance hedge ratio for currency hedging
The textbook formula for minimum variance hedge ratio (MVHR) is correl (Y,X) * (STDEV Y / STDEV X)
However, I would like to reconcile the textbook formula with the ...
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2
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Units of measurement for Minimum Variance Hedge Ratio
The minimum variance hedge ratio is given by $h=p*\frac{\sigma_S}{\sigma_F}$.
I was wondering if you wanted to calculate the S.D yourself and the spot prices were in Dollars per barrel while futures ...
