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Persistent link: https://www.econbiz.de/10010418991
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
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