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.

United States, Management dynamics, Management, Influence, Company business management, Portfolio insurance, Market value

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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 .

United Kingdom, Evaluation, Measurement, Financial instruments, Econometric models, Yield (Investments)

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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.

Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis

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