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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117127


    Title: Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
    Authors: Chuang, Chung-Chu;Wang, Yi-Hsien;Yeh, Tsai-Jung
    Keywords: EUM-MVaR model;hedging effectiveness;multivariate skewed t distribution;multivariate
    Date: 2018-11-29
    Issue Date: 2019-09-24 12:12:04 (UTC+8)
    Publisher: Taylor & Francis Group, LLC
    Abstract: The higher moments of hedged portfolio returns often influence the calculation of value-atrisk
    (VaR). To establish future short and long hedged portfolios, this study proposes a new modified VaR
    model, an expected utility maximization (EUM) subject to the modified VaR of higher moments (EUMMVaR)
    of stock index futures in markets in greater China. EUM-MVaR has the greatest hedging effectiveness
    in determining hedged portfolios, while the minimum variance (MV) model had the least hedging
    effectiveness; the consideration of higher moments of a hedged portfolio return is more effective than
    non-consideration in determining the hedging effectiveness.
    Relation: Emerging Markets Finance & Trade, p.1-19
    DOI: 10.1080/1540496X.2018.1520088
    Appears in Collections:[Department of Management Sciences] Journal Article

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