n optimal hedge ratio is usually defined as the proportion of a cash position A that should be covered with an opposite position on a futures market. Under certain simplifying assumptions discussed below, optimal hedge ratios can be characterized by a simple rule: set the hedge ratio equal to the ra
โฆ LIBER โฆ
Estimating multiperiod hedge ratios in cointegrated markets
โ Scribed by Donald Lien; Xiangdong Luo
- Book ID
- 102842821
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 649 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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