Analysis of hedging based on co-persistence theory

Changshuai Li (chshuai865@163.com)

Papers from arXiv.org

Abstract: This article analyzes the relationship between co-persistence and hedging which indicates 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: 2011-12, Revised 2012-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1112.4027

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