calculate minimum VaR portfolio using the Markowitz model with a moving hedge ratio (moving beta of future-spot prices). I'm not sure how to optimize this portfolio if my hedge ratio is changing constantly.;As an example I uploaded an Excel sheet with a constant, optimized hedge ratio - my professor expects a similar answer but with a daily changing beta.;Is it possible to optimize such a portfolio? Or I just missed some other criteria the teacher mentioned and this whole thing is much easier than I thought?
Paper#21730 | Written in 18-Jul-2015Price : $27