A Mathematical Approach to Risk Hedging That Works
Updated: May 18
Article in PULSE ONLINE (STOXX Digital)
Statistical analysis and probability theory have long focused on the problem of trying to detect turning points in financial markets.
In a recent study,2 OpenMetrics employed a BCP approach to determine change points for the STOXX®Europe 600 Index. The change points then became the basis for a dynamic hedge strategy that adjusts the equity exposure accordingly on a monthly basis.
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