Model-Free Market Risk Hedging Using Crowding Networks
Hedging strategies in equities, studied by Zlotnikov and co-authors in 2023. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“By adding our long-short portfolio to a baseline portfolio such as a traditional 60/40 portfolio, our method provides an alternative way to hedge portfolio risk including tail risk, which does not require costly option-based strategies or complex numerical optimization.”
AssetEquities
StrategyHedging
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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