random.py

Created on February 13, 2025

445 Bytes

Correlation : Cov / SDs*SDf 
Risk reduction = variance without hedge – variance with hedge / variance without hedge 
Risk reduction factor = 1 – SDportfolio^2/Sdplatinum^2 
The risk reduction is x% meaning the hedge reduced the portfolio’s risk by approximately x%. 
Weight platinum = 200 000/ 200 000 + (0,51*200 000) 
Weight future = 0,51*200 000/ 200 000 + (0,51*200 000)
variance = wp^2*SDp^2 + wf^2*SDf^2 + 2*wp*wf*p*SDp*SDf

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