Dynamical future hedging for security portfolio

Abstract

The paper presents simple methods of forecasting volatility and correlation of relative changes of price based on exponential smoothing. As an example, the problem of dynamical mean-variance futures hedging of a position is considered. Effective adaptive strategies of portfolio risk management together with comparative analysis are illustrated by a concrete example. It is shown that this scheme of control may be generalized to the case of investment portfolio.

Keywords

• экспоненциальное сглаживание
• управление риском
• фьючерсные контракты