Analysis of hedging based on co-persistence theory

Details Analysis of hedging based on co-persistence theory Analysis of hedging based on co-persistence theory

2011-12-17

arxiv.org/abs/1112.4027v3

Economy

Quantitative Finance

Portfolio Management

There are some mistakes in our estimation

Scientific paper

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 .

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