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Tagged with optimal-hedge-ratio modern-portfolio-theory
2 questions
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How to construct a delta-neutral portfolio containing stocks using correlations?
I’m aware of the mean-variance framework where we construct a portfolio such that we attempt to minimise the variance and maximise returns.
What if instead we’re in a scenario where the main goal is ...
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Have more complex MVA-style models become obsolete?
Just reading a book about about portfolio optimisation. You hear left and right that MVA (Mean Variance Analysis of Markowitz) is out of date, creates suboptimal portfolios in practice and so on ...
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