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Best hedge

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The best hedge is based on portfolio volatility in the mean-variance framework. Specifically, 1. Given a current portfolio with value (W), and 2. Given an asset (A) with correlation (rho) to the portfolio, 3. What is the trade that produces the minimum volatility for the new portfolio (W+a)?

Channel: Howto & Style
Uploaded: November 30, 1999 at 12:00 am
Author: bionicturtledotcom

Length: 05:56
Rating: 5.0
Views: 15827

Tags: hedge  portfolio  variance  

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Video Comments

miasma1616 (November 30, 1999 at 12:00 am)
Snoozefest 2010.
pleasurepete (November 30, 1999 at 12:00 am)
pure fuckery u just show
dmahay1 (November 30, 1999 at 12:00 am)
what's the use of the portfolio volatility in this?plz tell !!!
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