Estimation of the conditional value at risk of a minimum variance hedging portfolio via distribution kurtosis

機構典藏 > College of Business and Management > Department of Management Sciences > Journal Article > Item 987654321/79515

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/79515

Title:	Estimation of the conditional value at risk of a minimum variance hedging portfolio via distribution kurtosis
Authors:	Chuang, Chung-chu;Wang, Yi-hsien;Yeh, Tsai-jung;Chuang, Shuo-li
Contributors:	淡江大學管理科學學系
Keywords:	Value at risk;Back-testing;Stock index futures;Asymmetry model
Date:	2012-10-01
Issue Date:	2012-12-05 12:34:14 (UTC+8)
Publisher:	Kumamoto: ICIC International
Abstract:	When returns on assets display heavy tail or leptokurtosis, estimating value at risk (VaR) without considering distribution kurtosis can cause estimation bias. This study considered the kurtosis of distribution, utilizing various models to examine the conditional VaR of minimum variance portfolios (incorporating both the stock index and futures) and performing back-testing to compare individual model performance. Results demonstrate the improved accuracy of models using distribution kurtosis to estimate VaR. Furthermore, t distributed models outperformed both those with a normal distribution and symmetric volatility models in terms of the conditional VaR of minimum variance portfolios. These results suggest that in portfolio construction, investors should consider distribution kurtosis and volatility asymmetry.
Relation:	ICIC Express Letters 6(10), pp.2529–2534
Appears in Collections:	[Department of Management Sciences] Journal Article

Files in This Item:

File	Description	Size	Format
ESTIMATION OF THE CONDITIONAL VALUE AT RISK.pdf		108Kb	Adobe PDF	761	View/Open
index.html		0Kb	HTML	33	View/Open