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3 votes

How to construct a delta-neutral portfolio containing stocks using correlations?

The answer depends on your definition of "neutralise". For some people it is a matter of being dollar neutral. Then the answer is straightforward. In your case it seems that you have also in ...
lehalle's user avatar
  • 12.2k
2 votes

mathematical proof of the hedge ratio formula for bond futures

You want to be a little careful with respect to what your sensitivities (DV01s) are measuring here and with respect to what settlement time. Let, $$ DV01_B^t = \text{risk sensitivity of price of bond, ...
Attack68's user avatar
  • 10.7k
1 vote

Calculate minimum variance hedge ratio for foreign-denominated asset hedged to domestic currency

From what I understand about your problem, you are a EUR investor looking to hedge the downside risk of USD depreciating against EUR such that returns earned in a USD ETF are worth less in your ...
KaiSqDist's user avatar
  • 1,394

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