Dynamical future hedging for security portfolio
| Autor: | A K Kerimov, O I Pavlov |
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| Jazyk: | English<br />Russian |
| Rok vydání: | 2015 |
| Předmět: | |
| Zdroj: | RUDN Journal of Economics, Vol 0, Iss 1, Pp 138-149 (2015) |
| Druh dokumentu: | article |
| ISSN: | 2313-2329 2408-8986 24573906 |
| Popis: | The paper presents simple methods of forecasting volatility and correlation of relative changes of price based on exponential smoothing. As an example, the problem of dynamical mean-variance futures hedging of a position is considered. Effective adaptive strategies of portfolio risk management together with comparative analysis are illustrated by a concrete example. It is shown that this scheme of control may be generalized to the case of investment portfolio. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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