Chapter 17: Portfolio Construction
Hedging Under Parameter Uncertainty advanced
A perfect hedge ratio estimated imperfectly is often worse than a conservative hedge ratio estimated honestly.
A perfect hedge ratio estimated imperfectly is often worse than a conservative hedge ratio estimated honestly.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Portfolio selection
Harry Markowitz
(1952)
— The journal of finance