教師資料查詢 | 類別: 期刊論文 | 教師: 莊忠柱 Chung-chu Chuang (瀏覽個人網頁)

標題:Hedging effectiveness of the hedged portfolio: the expected utility maximization subject to the value-at risk approach
學年103
學期2
出版(發表)日期2015/02/02
作品名稱Hedging effectiveness of the hedged portfolio: the expected utility maximization subject to the value-at risk approach
作品名稱(其他語言)
著者Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; Chuang, Shuo-Li
單位管理科學學系暨研究所
出版者Routledge:Taylor &; Francis Group
著錄名稱、卷期、頁數Applied Economics 47(20), p.2040–2052
摘要Multivariate volatilities and distribution play an important role in portfolio selection and can be used to calculate the value-at-risk (VaR) of a multiple-asset financial position. This study proposes a new expected utility maximization (EUM) model that accounts for VaR (EUM model with a VaR constraint (EUM–VaR)). Additionally, using the EUM–VaR model, this study investigates the hedging effectiveness of short and long hedged portfolios constructed with multivariate generalized autoregressive conditional heteroscedasticity (GARCH)-type models that feature level effects and multivariate normal

and skewed distributions for stock indexes and their corresponding futures in the Greater China Region. It is found that, all else equal, portfolios constructed using the multivariate skewed distribution are far more effective in hedging than those that rely on the other distributions, and the effectiveness of hedged portfolios from the multivariate GARCH-type models with level effects outperform those without level effects. Additionally, the effectiveness of hedged portfolios from multivariate asymmetric GARCH-type models exceeds that of those from multivariate symmetric GARCH-type models. Thus, investors should select the multivariate asymmetry in volatility, multivariate asymmetry in distribution, and EUM–VaR models to construct effectively hedged portfolios. The results of this study can provide useful implications for investors looking to manage risk.
關鍵字expected utility maximization;value-at-risk;GARCH;VEC–ADVECH;hedging effectiveness;futures
語言英文
ISSN1466-4283
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Chuang, Chung-Chu
審稿制度
國別英國
公開徵稿
出版型式,電子版
相關連結
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