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
下载
收藏
页码：59 / 63
页数：5
相关论文
共 50 条
  • [1] THE OPTIMAL HEDGE RATIO IN UNBIASED FUTURES MARKETS
    BENNINGA, S
    ELDOR, R
    ZILCHA, I
    JOURNAL OF FUTURES MARKETS, 1984, 4 (02) : 155 - 159
  • [2] Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets
    Kamdem, Willy
    Kamdem, Willy Domtchueng
    Kamdem, David
    Fono, Louis Aime
    ECONOMICS BULLETIN, 2020, 40 (01): : 587 - +
  • [3] ESTIMATION OF THE OPTIMAL FUTURES HEDGE
    CECCHETTI, SG
    CUMBY, RE
    FIGLEWSKI, S
    REVIEW OF ECONOMICS AND STATISTICS, 1988, 70 (04) : 623 - 630
  • [4] Optimal Hedge Ratio Estimation for Bitcoin Futures using Kalman Filter
    Matsui, Toshiko
    Knottenbelt, William J.
    2023 IEEE INTERNATIONAL CONFERENCE ON BLOCKCHAIN AND CRYPTOCURRENCY, ICBC, 2023,
  • [5] The Optimal Hedge Ratio of Stock Index Futures : An Empirical Analysis Based on Copula-GARCH Model
    Zhao, Jiamin
    Shen, Yi
    ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 727 - +
  • [6] FUTURES AND ALTERNATIVE HEDGE RATIO METHODOLOGIES
    TOEVS, AL
    JACOB, DP
    JOURNAL OF PORTFOLIO MANAGEMENT, 1986, 12 (03): : 60 - 70
  • [7] Optimal hedge ratio and the performance of hedging in China's cotton futures market
    Yang Yan-jun
    PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (14TH) VOLS 1-3, 2007, : 1743 - 1748
  • [8] COMPARATIVE STUDY ON THE MODELS OF OPTIMAL HEDGE RATIO WITH APPLICATIONS TO CHINESE FUEL FUTURES
    Li, Ping
    Huang, Guangdong
    ICIM 2010: PROCEEDINGS OF THE TENTH INTERNATIONAL CONFERENCE ON INDUSTRIAL MANAGEMENT, 2010, : 524 - +
  • [9] Optimal Hedge Ratio and Hedging Effectiveness in Turkish Stock Index Futures Market
    Gok, Ibrahim Yasar
    EGE ACADEMIC REVIEW, 2016, 16 (04) : 719 - 732
  • [10] Empirical study on hedge ratio and hedge effectiveness of soybean futures in China
    Hui Xiao-feng
    Li Jing
    Zhang Zhou
    PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (14TH) VOLS 1-3, 2007, : 1609 - +
12345