English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 57615/91160 (63%)
造訪人次 : 13559717      線上人數 : 117
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/100211


    題名: Hedging effectiveness of the hedged portfolio: the expected utility maximization subject to the value-at risk approach
    作者: Chuang, Chung-Chu;Wang, Yi-Hsien;Yeh, Tsai-Jung;Chuang, Shuo-Li
    貢獻者: 管理科學學系暨研究所
    關鍵詞: expected utility maximization;value-at-risk;GARCH;VEC–ADVECH;hedging effectiveness;futures
    日期: 2015-02-02
    上傳時間: 2015-02-06 10:00:08 (UTC+8)
    出版者: Routledge
    摘要: 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.
    關聯: Applied Economics 47(20), p.2040–2052
    DOI: 10.1080/00036846.2014.1000528
    顯示於類別:[管理科學學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML104檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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