Читать книгу Advanced Portfolio Management - Giuseppe A. Paleologo - Страница 18

1 Compute the dollar betas for the individual positions of the unhedged portfolio;

2 Compute the dollar portfolio beta as the sum of the individual betas;

3 Compute the market hedge NMV, whose value is equal to the opposite of the portfolio beta.

This is perhaps the simplest possible hedging scenario one may imagine, and yet it is applied daily to portfolios with Gross Market Values¹⁰ of hundreds of billions of dollars. These portfolios are usually long-short, but they still do carry beta exposures, which are computed and hedged several times a day using liquid instruments like equity futures. In Chapter 6 we will expand the concept in several directions.