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:Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
學年107
學期1
出版(發表)日期2018/11/29
作品名稱Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model
作品名稱(其他語言)
著者Chung-Chu Chuang; Yi-Hsien Wang; Tsai-Jung Yeh
單位
出版者
著錄名稱、卷期、頁數Emerging Markets Finance & Trade, p.1-19
摘要The higher moments of hedged portfolio returns often influence the calculation of value-atrisk
(VaR). To establish future short and long hedged portfolios, this study proposes a new modified VaR
model, an expected utility maximization (EUM) subject to the modified VaR of higher moments (EUMMVaR)
of stock index futures in markets in greater China. EUM-MVaR has the greatest hedging effectiveness
in determining hedged portfolios, while the minimum variance (MV) model had the least hedging
effectiveness; the consideration of higher moments of a hedged portfolio return is more effective than
non-consideration in determining the hedging effectiveness.
關鍵字EUM-MVaR model;hedging effectiveness;multivariate skewed t distribution;multivariate
語言英文
ISSN1558-0938
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Yi-Hsien Wang
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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