We divide hedging methods between single-period and multi-period. After reviewing some well-known hedging algorithms, two new procedures are introduced, called Dickey-Fuller Optimal (DFO), Mini-Max Subset Correlation (MMSC). The former is a multi-period, cointegration-based hedging method that...

Correlation matrices are ubiquitous in finance. Some key applications include portfolio construction, risk management, and factor/style analysis. Correlation matrices are usually estimated from historical empirical observations or derived from historically estimated factors. It is widely...

Proofs to the propositions in "Stop-Outs Under Serial Correlation".The paper "Stop-Outs Under Serial Correlation and 'The Triple Penance Rule" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2201302" http://ssrn.com/abstract=2201302