Analysis of hedging based on co-persistence theory

Changshuai Li ()

Journal of Applied Statistics, 2012, vol. 39, issue 12, 2557-2567

Abstract: This article analyzes the relationship between co-persistence and hedging, which indicates that the co-persistence ratio is just the long-term hedging ratio. The new method of exhaustive search algorithm for deriving co-persistence ratio is derived in the article. And we also develop a new hedging strategy of combining co-persistence with dynamic hedging which can enhance the hedging effectiveness and reduce the persistence of the hedged portfolio. Finally, our strategy is illustrated to study the hedge of JIASHI300 index and HS300 stock index future.

Date: 2012
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DOI: 10.1080/02664763.2012.722610

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