| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === Recently, risk has become more and more serious and risk management is important in economics and management decisionmaking. Derivatives are the maintool to hedge the risk caused by interest rates, exchange rates and other market factors. We use an index of riskiness proposed by Aumann and Serrano(2008) to analyze the relationship between the Riskinessand the strike price ofhedge portfolio, which buy a stock and a protective put at the beginning. Our simulation found that the greater the volatility, the longer the time to maturity and the smaller the expected underlying asset’s return, will cause the greater the index ofRiskiness.The greater the dividend yield, the risk value is larger, the optimal strike price decrease and has little effect on the structure of portfolio expected returns.The impact of volatility on the Riskinessmore than from the maturity, the former is a quadratic function, the latter is just a linear function.
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