Advances in Cointegration and Subset Correlation Hedging Methods by Marcos Lopez de Prado, David Leinweber :: SSRN

We divide hedging methods between single-period and multi-period. After reviewing some well-known hedging algorithms, two new procedures are introduced, called

Source: Advances in Cointegration and Subset Correlation Hedging Methods by Marcos Lopez de Prado, David Leinweber :: SSRN

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