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Add minimum-variance hedging strategy

Open sebastienverreault opened this issue 3 years ago • 0 comments

The current hedging strategy calculates a naive hedge ratio or number of contracts to establish the short position in the derivatives instrument. It is based on simple rules, but +/- a 1:1 ratio. Given historical data in the spot and derivatives, one can calculate a ratio that minimizes the variance and therefore increases the effectiveness of the hedge.

sebastienverreault avatar Aug 09 '21 12:08 sebastienverreault