Showing 1 - 10 of 43
Persistent link: https://www.econbiz.de/10000904872
Persistent link: https://www.econbiz.de/10000945698
Persistent link: https://www.econbiz.de/10000560594
Persistent link: https://www.econbiz.de/10002695544
Persistent link: https://www.econbiz.de/10002081905
Persistent link: https://www.econbiz.de/10003974036
Persistent link: https://www.econbiz.de/10009765832
Persistent link: https://www.econbiz.de/10010191237
Persistent link: https://www.econbiz.de/10010191405
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the hedged...
Persistent link: https://www.econbiz.de/10010244526