minimum-variance-hedge
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P1.T2.305. Minimum variance hedge (Miller)
Hi @David Harper CFA FRM I wasn't sure where to put this question since it's related to instruction video slides, I apologies if it caused inconvenience. But I haven't really understood the concept of using Price relative formula & LN daily return. Can you please put in some explanation to this...- navjyotbirdy
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- minimum-variance-hedge
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- Forum: P1.T3. Financial Markets & Products (30%)
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YouTube T3-06: Minimum variance hedge
The minimum variance hedge is based on the slope of the regression line. If we use the number of contracts implied by the minimum variance hedge ratio, then we are minimizing the volatility of the net position (i.e., the portfolio that consists of the exposure plus the hedge). David's XLS is...- Nicole Seaman
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- minimum-variance-hedge
- Replies: 9
- Forum: P1.T3 Financial Markets & Products
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Optimal Hedge Ratio Correlation Understanding
Hi, I have a doubt about the meaning of the hedge ratio. Hedge ratio = ρ * σ_spot / σ_fut Number of contracts = HedgeRatio * PortfolioValue / ValueFuturesContract Therefore, the lower the correlation, the lower the number of contracts. So, let's say that I have a portfolio of $ 1.000.000 of...- materio
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- correlation frm futures hedge hedge ratio minimum-variance-hedge ratio
- Replies: 5
- Forum: P1.T3. Financial Markets & Products (30%)