A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge

A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge

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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...

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Main Authors: Hui-Fen Yeh, 葉惠芬
Other Authors: Yu-Chuan Huang
Format: Others
Language:zh-TW
Published: 2003
Online Access:http://ndltd.ncl.edu.tw/handle/20857184340437764716
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spelling ndltd-TW-091NKIT53050402015-10-13T15:01:27Z http://ndltd.ncl.edu.tw/handle/20857184340437764716 A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge 股價指數期貨最適避險比率之探討-最適VaR避險法與M-V避險法之比較 Hui-Fen Yeh 葉惠芬 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. Yu-Chuan Huang 黃玉娟 2003 學位論文 ; thesis 60 zh-TW
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language zh-TW
format Others
sources NDLTD
description 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.
author2 Yu-Chuan Huang
author_facet Yu-Chuan Huang
Hui-Fen Yeh
葉惠芬
author Hui-Fen Yeh
葉惠芬
spellingShingle Hui-Fen Yeh
葉惠芬
A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
author_sort Hui-Fen Yeh
title A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
title_short A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
title_full A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
title_fullStr A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
title_full_unstemmed A study of optimal hedge ratio for stock index futures－a comparison of optimal VaR Hedge and M-V hedge
title_sort study of optimal hedge ratio for stock index futures－a comparison of optimal var hedge and m-v hedge
publishDate 2003
url http://ndltd.ncl.edu.tw/handle/20857184340437764716
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