Dynamic hedging

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Dynamic hedging

A strategy that involves rebalancing hedge positions as market conditions change; a strategy that seeks to insure the value of a portfolio using a synthetic put option.

Dynamic Hedging

An investment strategy in which one reduces risk by taking various positions in put options according to changing market conditions. For example, one may buy a put to hedge risk to one security in a portfolio thought to be particularly risky at one time, and then sell that put and buy another when matters change.
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With the consideration of the information set at the time t - [tau], we can obtain the following optimal dynamic hedge ratio by minimizing risk of the hedged portfolio [pi] = [S.
The eleven international contributions that make up the bulk of the text cover model switching and model averaging in time-varying parameter regression models, Bayesian selection of systematic risk networks, factor selection in dynamic hedge fund replication models, and a variety of other related subjects.
Since this type of strategy is typical of hedging problems, it is worthwhile to derive the dynamic hedge and discuss its operation.
For example, we will hedge global fixed interest 100%, whereas with global equities, we have a more dynamic hedge.
These dynamic hedge adjustments in response to a fall in prices could introduce further downward pressure on prices.
CHICAGO -- AlphaMetrix, the leading secure online marketplace for private investments, today announced that Saliba Portfolio Management (SPM) has listed its Dynamic Hedge fund as a TransparentFund.
At the same time, also by considering memory effects, the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio was established.
Since this type of strategy is typical of hedging problems, it is worthwhile deriving the dynamic hedge and discussing its operation.
The new ETF seeks to capture alpha from these managers' long positions while protecting against protracted market downturns through a dynamic hedge mechanism.
Agio's team has been put through the rigors of what it means to execute mission-critical services for a large and dynamic hedge fund like SAC.
MadisonGrey offers traditional fund administration services designed for the particular needs of dynamic hedge funds and funds of hedge funds.
IndexIQ has introduced the first ETF designed to capture the risk and return characteristics of two of the most dynamic hedge fund strategies - global macro and emerging markets

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