A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
碩士 === 國立高雄第一科技大學 === 財務管理所 === 91 === In the futures market, the main hedging objective generally focuses on achievement of the minimum variances. However, from the viewpoint of the investor, he or she generally values the downside risk most importantly. This research applies the optimal VaR Hed...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/20857184340437764716 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 91 === In the futures market, the main hedging objective generally focuses on
achievement of the minimum variances. However, from the viewpoint of the
investor, he or she generally values the downside risk most importantly. This research applies the optimal VaR Hedge method to discover optimal hedging ratio. Furthermore, we will compare the hedging effectiveness of optimal VaR Hedge and Minimum Variance (MV) strategy. The results of performance show that
Optimal VaR Hedge performs better than MV hedge.
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