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    Minimum varaince hedge

    Thanks david. this helps.
  2. V

    Minimum varaince hedge

    h = - Correlation ( SDa )/ Correlation (SDb) => Miller notes h = +Correlation ( SDa )/ Correlation (SDb) => Hedging using futures chapter. Can someone calrify, if to use the negative sign or not for the hedge ratio? I found 2 different equations?
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    P1.T4.28. Value at Risk (VaR)

    For the third question, how would you calculate the volatility of the portfolio? Would you consider the weighting of the assets in this portfolio?
  4. V

    Forward rates

    thanks David. This makes complete sense.
  5. V

    Forward rates

    Hi Shakti, Thanks for the detailed explanation. ( also, sorry for late reply, I was travelling for work ) I understand that both the equations would bring same result but just one last thing to ask on this. Would there be any specific question where we would choose one formula over the...
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    Practice Questions

    Thanks Suzanne.
  7. V

    Forward rates

    Hi all, This might be a very basic question but it is really confusing for me at the moment. There are two formulas to calculate the implied forward rates using the spot rate curve. 1. (AIM 37.5) -> (1+f2) = (1+Z2)^2 / (1+z1)^1 2. AIM 26.4 -> R(fwd) = r2t2-r1t1/(t2-t1) I am trying to...
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    Practice Questions

    Hi David, I am writing my FRM exam and wondering if your have a separate practice questions product in your offerings? I know its not currently listed there, but want to check if you have plans for releasing them shortly? -Akshay
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