Hedging and value at risk
Article Abstract:
The influence of hedging in reducing standard deviations of portfolio returns and its uncertainty when used with value at risk (VaR) and conditional value at risk (CVaR) is calculated.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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A simplified approach to modeling the co-movement of asset returns
Article Abstract:
A simplified multivariate generalized autoregressive conditional heteroscedasticity model to measure the covariance between the returns on various financial instruments is presented .
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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Robust estimation of the optimal hedge ratio
Article Abstract:
The article proposes an alternative means of estimating returns on a hedged portfolio.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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