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DYNAMIC CONDITIONAL CORRELATION – A SIMPLE CLASS …

DYNAMIC CONDITIONAL CORRELATION – A SIMPLE CLASS …

pages.stern.nyu.edu

Hedges require estimates of the correlation between the returns of the assets in the hedge. If the correlations and volatilities are changing, then the hedge ratio should be adjusted to account for the most recent information. Similarly, structured products such as rainbow options that are designed ... Construction of an optimal portfolio with ...

  Optimal, Ratios, Hedge, Hedge ratio

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