Dynamical future hedging for security portfolio

Cover Page


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.

About the authors

A K Kerimov

Peoples’ Friendship University of Russia

Email: keram@bk.ru

O I Pavlov

Peoples’ Friendship University of Russia

Email: keram@bk.r




Abstract - 154

PDF (Russian) - 69


Copyright (c) 2016 Economics

This website uses cookies

You consent to our cookies if you continue to use our website.

About Cookies