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Minimum Semi-covariance hedge ratio.

I have been trying very hard to understand how to calculate hedge ratio using minimum semi-covariance or fishburn alpha - t(target) model. Any help in this regard would be highly appreciated.

4 responses

Do you have a reference you can recommend, I'm not familiar with this?

Interesting, it sounds like an intuitive concept, but I'll have to wrap my head around it more before I'm sure how to properly calculate it.

I think I've got it now. But will have to calculate on a dataset before I can say that.