English  |  正體中文  |  简体中文  |  Items with full text/Total items : 56431/90260 (63%)
Visitors : 11697895      Online Users : 59
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/100211

    Title: Hedging effectiveness of the hedged portfolio: the expected utility maximization subject to the value-at risk approach
    Authors: Chuang, Chung-Chu;Wang, Yi-Hsien;Yeh, Tsai-Jung;Chuang, Shuo-Li
    Contributors: 管理科學學系暨研究所
    Keywords: expected utility maximization;value-at-risk;GARCH;VEC–ADVECH;hedging effectiveness;futures
    Date: 2015-02-02
    Issue Date: 2015-02-06 10:00:08 (UTC+8)
    Publisher: Routledge
    Abstract: Multivariate volatilities and distribution play an important role in portfolio selection and can be used to calculate the value-at-risk (VaR) of a multiple-asset financial position. This study proposes a new expected utility maximization (EUM) model that accounts for VaR (EUM model with a VaR constraint (EUM–VaR)). Additionally, using the EUM–VaR model, this study investigates the hedging effectiveness of short and long hedged portfolios constructed with multivariate generalized autoregressive conditional heteroscedasticity (GARCH)-type models that feature level effects and multivariate normal

    and skewed distributions for stock indexes and their corresponding futures in the Greater China Region. It is found that, all else equal, portfolios constructed using the multivariate skewed distribution are far more effective in hedging than those that rely on the other distributions, and the effectiveness of hedged portfolios from the multivariate GARCH-type models with level effects outperform those without level effects. Additionally, the effectiveness of hedged portfolios from multivariate asymmetric GARCH-type models exceeds that of those from multivariate symmetric GARCH-type models. Thus, investors should select the multivariate asymmetry in volatility, multivariate asymmetry in distribution, and EUM–VaR models to construct effectively hedged portfolios. The results of this study can provide useful implications for investors looking to manage risk.
    Relation: Applied Economics 47(20), p.2040–2052
    DOI: 10.1080/00036846.2014.1000528
    Appears in Collections:[Department of Management Sciences] Journal Article

    Files in This Item:

    File Description SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback