淡江大學機構典藏:Item 987654321/79515
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 60868/93650 (65%)
造访人次 : 1147185      在线人数 : 22
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: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/79515


    题名: Estimation of the conditional value at risk of a minimum variance hedging portfolio via distribution kurtosis
    作者: Chuang, Chung-chu;Wang, Yi-hsien;Yeh, Tsai-jung;Chuang, Shuo-li
    贡献者: 淡江大學管理科學學系
    关键词: Value at risk;Back-testing;Stock index futures;Asymmetry model
    日期: 2012-10-01
    上传时间: 2012-12-05 12:34:14 (UTC+8)
    出版者: Kumamoto: ICIC International
    摘要: 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.
    關聯: ICIC Express Letters 6(10), pp.2529–2534
    显示于类别:[管理科學學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    ESTIMATION OF THE CONDITIONAL VALUE AT RISK.pdf108KbAdobe PDF723检视/开启
    index.html0KbHTML0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