Questions tagged [optimal-hedge-ratio]
The optimal-hedge-ratio tag has no usage guidance.
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Constructing a Beta Neutral Hedge in a Pairs Strategy
Looking for resources / explanation.
Creating a dollar neutral hedge is easy - stockprice-a/stockprice-b
How do I create a beta neutral hedge?
I find discussions but no explicit derivation ...
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Minimum variance hedge ratio price difference vs. log-returns
So from my understanding Hull (2012) f.e. shows that the optimal hedge ratio minimizes the variance of the returns. But what happens to the variance of the prices? Is the Minimum variance hedge ...
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Minimum Variance Hedge Ratio and Risk Capital Relation
So I understand that the minimum variance hedge ratio minimizes the second moment of the portfolios. My question is how is it related to the size of the risk capital (which is calculated as the Value ...
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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?
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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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Bond Hedging: PCA and regression based hedge ratios
This is my first question and I would very much appreciate any help.
For a project I am trying to compare different hedging techniques for hedging a long portfolio of bonds.
I have a history of ...
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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 ...
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Measuring Hedge Effectiveness
So I was trying to estimate the performance of a static hedge vs dynamic hedge in the electricity market and I came up with some weird findings. When I used the minimum variance hedge approach using ...
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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 | ...
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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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Calculate the conditional variance-covariance matrix to optimal hedge ratio bekk [duplicate]
I estimated an MGARCH-BEKK model (using the R package BEKK, i.e. Baba, Engle, Kraft and Kroner; see Engle and Kroner (1995)) on time series of spot and futures ...
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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 ...
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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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Pair trading: Hege ratio by price ratio or by regression on the stocks
So I feel things like this question do exist on the site however I failed to form a conclusion based on what was written, so I decided to formulate my query as exactly as possible and hopefully anyone ...
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How to tail a hedge? (Question 3.26 from Hull, edition 10)
I am new to finance so I apologize if my question is really basic (which it probably is). If this is not the right "stackexchange" group for this, kindly refer me to the right one.
Let's say you own ...
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