Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model
Hedging function is one of the most significant functions of stock index futures, and it received extensive public attention. This article set VaR and CVaR as hedging objective function of the hedging model in China and proposed the hedging effect measurement method based on VaR and CVaR. It also us...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2015-01-01
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| Series: | SHS Web of Conferences |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1051/shsconf/20151701004 |