關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Hedging with Zero-Value at Risk Hedge Ratio

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序號 學年期 教師動態
1 94/2 財金系 邱建良 教授 期刊論文 發佈 Hedging with Zero-Value at Risk Hedge Ratio , [94-2] :Hedging with Zero-Value at Risk Hedge Ratio期刊論文Hedging with Zero-Value at Risk Hedge RatioHung, Jui-cheng; Chiu, Chien-liang; Lee, Ming-chih淡江大學財務金融學系financial marketOxon: RoutledgeApplied Financial Economics 16(3), pp.259-26920121130 補正完成 by yuchi;tku_id: 000121786; 000100730; 000076071;Made available in DSpace on 2013-03-12T02:56:59Z (GMT). No. of bitstreams: 0en0960-3107國際Hung, Jui-chengGBR<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18360</url></record></links>
2 94/2 財金系 李命志 教授 期刊論文 發佈 Hedging with Zero-Value at Risk Hedge Ratio , [94-2] :Hedging with Zero-Value at Risk Hedge Ratio期刊論文Hedging with Zero-Value at Risk Hedge RatioHung, Jui-cheng; Chiu, Chien-liang; Lee, Ming-chih淡江大學財務金融學系financial marketOxon: RoutledgeApplied Financial Economics 16(3), pp.259-26920121130 補正完成 by yuchi;tku_id: 000121786; 000100730; 000076071;Made available in DSpace on 2013-03-12T02:56:59Z (GMT). No. of bitstreams: 0en0960-3107國際Hung, Jui-chengGBR<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18360</url></record></links>
3 94/2 財金系 洪瑞成 教授 期刊論文 發佈 Hedging with Zero-Value at Risk Hedge Ratio , [94-2] :Hedging with Zero-Value at Risk Hedge Ratio期刊論文Hedging with Zero-Value at Risk Hedge RatioHung, Jui-cheng; Chiu, Chien-liang; Lee, Ming-chih淡江大學財務金融學系financial marketOxon: RoutledgeApplied Financial Economics 16(3), pp.259-26920121130 補正完成 by yuchi;tku_id: 000121786; 000100730; 000076071;Made available in DSpace on 2013-03-12T02:56:59Z (GMT). No. of bitstreams: 0en0960-3107國際Hung, Jui-chengGBR<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18360</url></record></links>
4 96/1 財金系 李命志 教授 期刊論文 發佈 Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity , [96-1] :Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity期刊論文Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity李命志; Lee, Ming-chih; 洪瑞成; Hung, Jui-cheng淡江大學財務金融學系Taylor & FrancisApplied Economics 39(18), pp.2403-2412This study extends the one period zero-VaR (Value-at-Risk) hedge ratio proposed by Hung et al . (2005 Hung, JC, Chiu, CL and Lee, MC. 2005. Hedging with zero-Value at Risk hedge ratio. Applied Financial Economics, 16: 259–69. ) to the multi-period case and incorporates the hedging horizon into the objective function under VaR framework. The multi-period zero-VaR hedge ratio has several advantages. First, compared to existing hedge ratios based on downside risk, it has an analytical solution and is simple to calculate. Second, compared to the traditional Minimum Variance (MV) hedge ratio, it considers expected return and remains optimal while the Martingale process is in
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