Questions tagged [optimal-hedge-ratio]
The optimal-hedge-ratio tag has no usage guidance.
0
votes
0answers
17 views
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 ...
3
votes
1answer
1k views
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 ...
1
vote
2answers
297 views
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 ...
2
votes
2answers
737 views
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 ...
3
votes
0answers
184 views
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 ...
1
vote
1answer
554 views
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 ...
