A new futures optimal hedge ratio model

被引：0

作者：

Zhao, Guangjun ^{[1
]}

Chi, Guotai ^{[1
]}

Yang, Zhongyuan ^{[1
]}

机构：

[1] Dalian Univ Technol, Sch Management, Dalian 116024, Peoples R China

来源：

PROCEEDINGS OF THE 2008 INTERNATIONAL CONFERENCE ON E-RISK MANAGEMENT (ICERM 2008) | 2008年

关键词：

futures; futures hedging; hedge ratio; conditional value at risk(CVaR);

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, the conditional value at risk (CVaR) approach is adopted to reduce the risk of futures hedged portfolio. By minimizing the conditional value at risk of hedged portfolio, the futures optimal hedge ratio is presented. Furthermore, this paper indicates that CVaR hedge ratio is composed of pure hedging and speculative components.

引用

页码：59 / 63

页数：5

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