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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
Edited 1 time(s). Last edit at Thursday, January 27, 2011 at 02:52AM by jims2010. |
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发表于 2011-7-13 16:38
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