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Subset Correlation

New paper on advanced hedging methods and Advanced in cointegration and subset correlation hedging methods

New paper on advanced hedging methods In this paper we formalize the hedging problem and introduce three new solutions, one static and two dynamic. http://www.risk.net/journal-of-investment-strategies/technical-paper/2164439/advances-cointegration-subset-correlation-hedging-methods Advanced in cointegration and subset correlation hedging methods risk.net   == Just a warning. That link takes you to a fee site. Don’t bother signing up if you don’t want …

New paper on advanced hedging methods and Advanced in cointegration and subset correlation hedging methods Read More »

Advances in Cointegration and Subset Correlation Hedging Methods

Advances in Cointegration and Subset Correlation Hedging Methods Hedging can be interpreted as a generalization of the portfolio optimization problem with applications in areas as diverse as trading, risk management and asset allocation. Like in portfolio optimization, one of the problems of hedging is that often one position or a subset (combination) of positions dominate …

Advances in Cointegration and Subset Correlation Hedging Methods Read More »

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