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Rasec

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tT
发表于 2013-4-3 23:51 | 只看该作者

questions related to curriculum

300, somebody, remember, solution
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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. questions related to curriculum

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thecfawannabe

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发表于 2013-4-3 23:54 | 只看该作者
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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Rasec

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发表于 2013-4-3 23:56 | 只看该作者
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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MiniMe7

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发表于 2013-4-3 23:59 | 只看该作者
jimswang79@hotmail.com

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