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Quantitative Finance · Glossário

O que é Hedge bleed?

Definition 7.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 7 — Tail Hedging and Long Volatility

The hedge bleed is a tail hedge’s cost in periods without a crash: premiums paid less payoffs received, as a share of the portfolio, per year.

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