Abstract
The effectiveness of an optimal hedging for a drop in the S&P500 using gold and cryptocurrencies in the COVID-19 pandemic is considered. Based on Value at Risk a new dynamic measure of relative benefit from the hedging strategy is proposed in the paper which allows us to compare the loss reduction and profit sacrifice. We find gold as good shelter for the US stock market. It effectively lowers volatility and downside risk. Moreover, gold reduces extreme losses more intensively than corresponding profits. Hedging with optimal weights for cryptocurrencies is not recommended since it establishes weights close to zero for Bitcoin and Ether and close to one for Tether.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Proceedings of the Open Scientific Conference in Rome, August 2022
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
