Dynamical future hedging for security portfolio

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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.

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

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Copyright (c) 2016 Economics



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