标题: So many hedge. So confusing... [打印本页] 作者: yuoska 时间: 2011-7-11 19:40 标题: So many hedge. So confusing...
I just realised currency hedge we do not divide by the price. Just take portfolio value/lot size. For equity hedge we need to consider the price. Worse still, there are some hedge where we need to multiply by 1+rf. It so confusing作者: Chuckrox 时间: 2011-7-11 19:40
Just remember the 1 + rf is when you are monetizing an equity position. You use the 1 + rf to 'lock in' the cash return during that period.作者: aidebaobao 时间: 2011-7-11 19:40
(1+rf) is to convert a risky portfolio to cash.
(1+rf) is missing when eliminating the systematic risk from the portfolio but that does not mean what is left is riskless as there could still be other risks still there.
