๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Optimal Model of Hedge Ratio based on Incremental and Existing Portfolio of the Maximum Return Probability

โœ Scribed by Chao YU; Guo-tai CHI; Zhong-yuan YANG

Publisher
Elsevier
Year
2009
Weight
184 KB
Volume
29
Category
Article
ISSN
1874-8651

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Optimal Model of Strip-and-Roll Hedge ba
Optimal Model of Strip-and-Roll Hedge based on the Min-Variance
โœ Guo-tai CHI; Zhong-yuan YANG ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier โš– 210 KB

When the longest holding period of futures contracts is shorter than the hedging period, the hedger has to use the overlap of two or more futures contracts to hedge for the spot. In this article, using the shorter futures contract-by-stack to construct the hedging portfolio, which makes the time of