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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31647

    Title: 報酬率與變異數極小避險策略的關係
    Other Titles: Minimum-variance futures hedging under alternative return specifications
    Authors: 游儲宇;You, Chu-yu
    Contributors: 淡江大學財務金融學系碩士班
    李命志;Lee, Ming-chih
    Keywords: 期貨避險;報酬;一般化自我迴歸條件變異數模型;Futures Hedging;Return;GARCH
    Date: 2006
    Issue Date: 2010-01-11 01:05:28 (UTC+8)
    Abstract: 期貨避險的變異數極小公式是期貨現貨間報酬率的條件共變異數除以期貨報酬的條件變異數。這標準的結果可在許多衍生性商品風險管理的教科書中找到但這個結論必須要在某些條件下才可成立。但實際上傳統的避險比率只有以報酬金額來計算才是變異數最小的。
    It is widely known that the variance-minimizing futures hedge is given by the ratio of the conditional covariance of the futures and spot returns to the conditional variance of the futures return. This standard result can be found in virtually every leading derivatives or risk management textbook. There is, however, much confusion over the conditions under which this result holds. This result has been asserted either explicitly or implicitly when returns are measured in dollar terms.
    In this article, we examine the minimum-variance hedge ratio (MVHR) under alternative return specifications. Formulas for the MVHR are derived for cases in which returns are measured in dollar terms, percentage terms, and log terms.. It is found that the conventional hedge ratio given by the ratio of the conditional covariance of the futures and spot returns to the conditional variance of the futures return is variance-minimizing when computed from returns measured in dollar terms but not from returns measured in percentage or log terms. the MVHR can vary significantly from the conventional hedge ratio computed from percentage or log returns when used in cross-hedging situations. Simulation analysis shows that the incorrect application of the conventional hedge ratio can substantially reduce hedging performance in cross-hedging situations.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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