sieunyi/Hedge: "Hedge" analyzes whether futures are an effective tool for hedging and how effective they are based on the calculated optimal hedge ratio

"Hedge” is a package to analyze whether futures are an effective tool for hedging and how effective they are based on the calculated. optimal hedge ratio. Investors want to minimize their risk of investment returns and hedging with futures price is one common way to offset the price volatility due to their high correlation. The optimal hedge ratio is calculated through minimizing the semi-variance of investors’ return, a method to derive the downside risk reducing. While the variance measures the volatility of the asset returns, semi-variance only considers the negative fluctuations of the returns neutralizing all values above the mean, or above an investor’s target return. After obtaining the optimal hedge ratio, hedging effectiveness is going to be calculated by comparing the two strategies of ”Hedging” and ”No hedging” for the portfolio. For the initial version of this package only considers "single commodity" hedging, and a discrete variable. The hedger invest in the commodity and take a short position and close its position on the next day.

install.packages("remotes")
remotes::install_github("sieunyi/Hedge")