Showing 1 - 10 of 362
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
Persistent link: https://www.econbiz.de/10010413752
Persistent link: https://www.econbiz.de/10011624150
Persistent link: https://www.econbiz.de/10011625538
Persistent link: https://www.econbiz.de/10003158165
Persistent link: https://www.econbiz.de/10009755521
Persistent link: https://www.econbiz.de/10012415407
Persistent link: https://www.econbiz.de/10012013257
Persistent link: https://www.econbiz.de/10000129180
Persistent link: https://www.econbiz.de/10003320246