标题: questions related to curriculum [打印本页]

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作者: Rasec    时间: 2013-4-3 23:51     标题: questions related to curriculum

level 3, volume 5, page 300. Can somebody tell me for the solution 2, how you get the return on the hedged portfolio is equal to 0 percent (remember that we neglected the cross-product term)?

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作者: thecfawannabe    时间: 2013-4-3 23:54

asQ1: minimum-variance hedge ration h=h1+h2=1-0.2=0.8
R(hedged)=R(LC)+s(1-h)=1%+(-5%)*(1-0.8)=0
not consider cross-product term

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作者: Rasec    时间: 2013-4-3 23:56

Thank you very much!
If you do not mind, may I have your email address so that I can ask you questions in the future?

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作者: MiniMe7    时间: 2013-4-3 23:59

jimswang79@hotmail.com

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