All Questions
Tagged with optimal-hedge-ratio portfolio-optimization
5
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130
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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 ...
- 99
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Calculate minimum variance hedge ratio for foreign-denominated asset hedged to domestic currency
The formula for minimum variance hedge ratio (MVHR) is conceptually the correlation multiplied by the ratios of volatilities.
correl (Y,X) * (STDEV Y / STDEV X)
...
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Have more complex MVA-style models become obsolete?
Just reading a book about about portfolio optimisation. You hear left and right that MVA (Mean Variance Analysis of Markowitz) is out of date, creates suboptimal portfolios in practice and so on ...
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1
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Hedge ratio with future contract [closed]
I want to buy some stocks and short future contract instead. I wonder whether I can calculate the hedge ratio?
- 111
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29
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single period security market with two assets
Consider a single period security market with two assets. Assume the current prices
are
There are two states at time one and the payoff matrix is
1.Suppose the investor believes that each state has ...
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