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Optimal Hedge Ratio Correlation Understanding
Hi, I have a doubt about the meaning of the hedge ratio. Hedge ratio = ρ * σ_spot / σ_fut Number of contracts = HedgeRatio * PortfolioValue / ValueFuturesContract Therefore, the lower the correlation, the lower the number of contracts. So, let's say that I have a portfolio of $ 1.000.000 of...- materio
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- correlation frm futures hedge hedge ratio minimum-variance-hedge ratio
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- Forum: P1.T3. Financial Markets & Products (30%)