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- W2361339062 abstract "By CVaR method,excess loss of hedged portfolio under extreme situation is controlled.A decision-making model of hedged portfolio optimization is set up with the minimum CVaR.The model has four contributions.Firstly,minimum variance hedge ratio,VaR hedge ratio are only examples of this model.We point out that CVaR hedge ratio in this model converges to the Minimum Variance hedge ratio under the futures zero-expected return,absolute correlation of spot return and futures return and the 100% predetermined level.When mean return of hedged portfolio under the situation of 1-α predetermined level and return lower than α-quantile of standard normal distribution are equal to certain β-quantile in the VaR hedge ratio,the model is the same as VaR hedge ratio. Secondly,using CVaR of futures hedged portfolio return as optimal function,considering tail loss of hedged portfolio and colligating the hedgers' expectation return and risk aversion,the model changes the phenomenon that existing research ignored hedgers' expectation return and arbitrarily made risk aversion parameter.The model made the selected futures reflecting risk tolerance ability of hedgers.Finally,we present that CVaR hedge ratio of this model is composed of reflecting the speculating component and pure hedging and shows deeper meaning of hedge ratio." @default.
- W2361339062 created "2016-06-24" @default.
- W2361339062 creator A5080777205 @default.
- W2361339062 date "2009-01-01" @default.
- W2361339062 modified "2023-09-24" @default.
- W2361339062 title "Futures Optimal Hedge Ratio Model Based on CVaR and Its Application" @default.
- W2361339062 hasPublicationYear "2009" @default.
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