NO.PZ2020010801000015
问题如下:
How does adding leverage (borrowing at a risk-free rate, which is not random) to a portfolio change the optimal hedge ratio? For example, if the portfolio returns were doubled so that , what is the optimal hedge ratio for the Rp? Hint: Use the formula for the OLS estimator of .
解释:
The OLS is . Scaling by a leverage v, the optimal hedge would be , where is the ledge ratio from the unlevered portfolio.
Levering up increases exposure to risk that can be hedged and to the hedge ratio must account for this.
老师,请解释一下这道题,还有,这里v是2吗?