Dynamical future hedging for security portfolio

Cover Page

Abstract


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.

A K Kerimov

Peoples’ Friendship University of Russia

Email: keram@bk.ru

O I Pavlov

Peoples’ Friendship University of Russia

Email: keram@bk.r

Views

Abstract - 49

PDF (Russian) - 39


Copyright (c) 2016 Economics