Mean-variance future hedging for security portfolio

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Abstract


The mean-variance approach futures hedging is under consideration. The representation of expected return and variation are derived for portfolio with futures. The hedging problem statement assumes limitations on expected return and on the number of futures in portfolio subject to market conditions. Adaptive methods for forecasting of necessary price parameters are used to estimate the efficient portfolio. All theoretical conclusions are illustrated on concrete examples.

About the authors

A K Kerimov

Peoples’ Friendship University of Russia

Email: keram@bk.ru

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