All Questions
Tagged with optimal-hedge-ratio futures
5
questions
2
votes
1
answer
244
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Optimal Hedging Ratio using Copula Models
Let $r_{s, t}$ and $r_{f, t}$ be the return rates of the spot and futures of a commodity at time $t$. The hedging ratio based on variance minimization is calculated by finding the minimum of the ...
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0
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0
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Rolling Hedge Performance
So I have Time Series data for Gas Spot and Futures Prices (first 6 front quarters and first 3 front years) from 2009-2019 and I want to evaluate the performance of a 3- year static hedge vs. 3- year ...
- 31
0
votes
1
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Translating Order books accounting for fees
I am trying to understand how fee structure plays into how I should best execute a trade.
Say there are two exchanges with the following order book:
Exchange A:
Bid Qty | Bid Price | Ask Price | ...
- 183
1
vote
1
answer
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Hedge ratio: hedging a portfolio of global equities with futures
A bank decides to use $100 million of its capital to launch an investment strategy (seed money). The portfolio which is launched is made of global equities (say ~ 500 equities of different markets).
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- 527
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2
answers
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Two questions regarding cross-hedge
A company has to hold an underlying asset for one year and it is looking to use Brent Crude futures to hedge against changes in the underlying asset's price.
Assuming there is no liquidity concerns ...
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