Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
“The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level.”
StrategyHedging
TechniqueMathematical derivation
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyHedging strategies20Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 982
AssetEquities10
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