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.