Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model

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題名:	Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
作者:	Chuang, Chung-Chu;Wang, Yi-Hsien;Yeh, Tsai-Jung
關鍵詞:	EUM-MVaR model;hedging effectiveness;multivariate skewed t distribution;multivariate
日期:	2018-11-29
上傳時間:	2019-09-24 12:12:04 (UTC+8)
出版者:	Taylor & Francis Group, LLC
摘要:	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.
關聯:	Emerging Markets Finance & Trade, p.1-19
DOI:	10.1080/1540496X.2018.1520088
顯示於類別:	[管理科學學系暨研究所] 期刊論文

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