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Commodity Contracts Optimal Number

Calculate the optimal number of contracts to hedge a portfolio

The optimal futures contracts number equals the position size times the minimum variance hedge ratio divided by the futures contract value.

Formula

QuantityVariable[SuperStar["N"], "Unitless"] == (QuantityVariable[Subscript["N", "A"], "Money"]*QuantityVariable[SuperStar["h"], "Unitless"])/QuantityVariable[Subscript["Q", "F"], "Money"]

symbol description physical quantity
N* optimal futures contracts number "Unitless"
NA position size "Money"
QF futures contract value "Money"
h* minimum variance hedge ratio "Unitless"

Forms

Examples

Get the resource:

In[1]:=
ResourceObject["Commodity Contracts Optimal Number"]
Out[1]=

Get the formula:

In[2]:=
FormulaData[ResourceObject["Commodity Contracts Optimal Number"]]
Out[2]=

Use some values:

In[3]:=
FormulaData[ ResourceObject[ "Commodity Contracts Optimal Number"], {QuantityVariable[ SuperStar["N"],"Unitless"] -> 100}]
Out[3]=

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