Questions tagged [optimal-hedge-ratio]
The optimal-hedge-ratio tag has no usage guidance.
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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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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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Calculating the Hedge Ratio
Suppose we have an index whose value is calculated by a weighted geometric mean. Now we want to recreate the index using its underlying components. How would we go about calculating the hedge ratios ...
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How can I use PCA to determine spread ratios for multiple legs?
I would like to generalize Paul Teetor's A Better Hedge Ratio, which uses prcomp() to determine a ratio between two legs. I am hoping to extend this to multiple legs, but am having trouble finding ...