Hedging and Value at Risk with Heavy Tailed Distribution
碩士 === 國立暨南國際大學 === 財務金融學系 === 100 === The non-normality of financial asset returns has been recognized as an important implication for hedging. The most basic minimum variance hedge ratio assumes that the returns are normally distributed. This assumption makes the hedge results inaccurate sinc...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29502086447966493769 |