The best hedge is based on portfolio volatility in the mean-variance framework. Specifically, 1. Given a current portfolio with value (W), and 2. Given an asset (A) with correlation (rho) to the portfolio, 3. What is the trade that produces the minimum volatility for the new portfolio (W+a)?
Snoozefest 2010.
miasma1616 1 year ago
pure fuckery u just show
pleasurepete 2 years ago
what's the use of the portfolio volatility in this?plz tell !!!
dmahay1 2 years ago