English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 54388/89187 (61%)
造访人次 : 10568446      在线人数 : 15
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=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/987654321/18360


    题名: Hedging with Zero-Value at Risk Hedge Ratio
    作者: Hung, Jui-cheng;Chiu, Chien-liang;Lee, Ming-chih
    贡献者: 淡江大學財務金融學系
    关键词: financial market
    日期: 2006-02
    上传时间: 2013-03-12 10:56:59 (UTC+8)
    出版者: Oxon: Routledge
    摘要: In this paper we derive a new mean-risk hedge ratio based on the concept of Value at Risk (VaR). The proposed zero-VaR hedge ratio has an analytical solution and it converges to the MV hedge ratio under a pure martingale process or normality. A bivariate constant correlation GARCH(1,1) model with an error correction term is employed to estimate expected returns and time-varying volatilities of the spot and futures in S&P 500 index. The empirical results indicates that the joint normality and martingale process do not hold for S&P 500 futures and the conventional minimum variance hedge is inappropriate for a hedger who only cares about downside risk. Eventually, this article provides an alternative hedging method for a practitioner to use the concept of Value-at-Risk to reflect the risk-averse level.
    關聯: Applied Financial Economics 16(3), pp.259-269
    DOI: 10.1080/09603100500394127
    显示于类别:[財務金融學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    Hedging with Zero-Value at Risk Hedge Ratio.pdf290KbAdobe PDF0检视/开启
    index.html0KbHTML194检视/开启
    index.html0KbHTML28检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

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