HEDGING AND VALUE AT RISK: A SEMI-PARAMETRIC APPROACH

doi:10.1002/fut.20440

CORC > 上海财经大学 > 上海财经大学

	HEDGING AND VALUE AT RISK: A SEMI-PARAMETRIC APPROACH
	Cao, Zhiguang 2; Harris, Richard D. F.1; Shen, Jian
刊名	JOURNAL OF FUTURES MARKETS
	2010-08
卷号	30 期号:8 页码:780-794
ISSN号	0270-7314
DOI	10.1002/fut.20440
英文摘要	The non-normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum-variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus, the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum-variance hedging generates can be significantly lower than the reduction in standard deviation. In this study, we provide a new, semi-parametric method of estimating minimum-VaR and minimum-CVaR hedge ratios based on the Cornish-Fisher expansion of the quantile of the hedged portfolio return distribution. Using spot and futures returns for the FTSE 100, FTSE: 250, and FTSE Small Cap equity indices, the Euro/US Dollar exchange rate, and Brent crude oil, we find that the semiparametric approach is superior to the standard minimum-variance approach, and to the nonparametric approach of Harris and Shen (2006). In particular, it provides a greater reduction in both negative skewness and excess kurtosis, and consequently generates hedge portfolios that in most cases have lower VaR and CVaR. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:780-794, 2010
WOS研究方向	Business & Economics
语种	英语
出版者	WILEY
WOS记录号	WOS:000278700600004
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2372]
专题	上海财经大学
通讯作者	Harris, Richard D. F.
作者单位	1.Univ Exeter, Xfi Ctr Finance & Investment, Exeter EX4 4ST, Devon, England; 2.Shanghai Univ Finance & Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Cao, Zhiguang,Harris, Richard D. F.,Shen, Jian. HEDGING AND VALUE AT RISK: A SEMI-PARAMETRIC APPROACH[J]. JOURNAL OF FUTURES MARKETS,2010,30(8):780-794.
APA	Cao, Zhiguang,Harris, Richard D. F.,&Shen, Jian.(2010).HEDGING AND VALUE AT RISK: A SEMI-PARAMETRIC APPROACH.JOURNAL OF FUTURES MARKETS,30(8),780-794.
MLA	Cao, Zhiguang,et al."HEDGING AND VALUE AT RISK: A SEMI-PARAMETRIC APPROACH".JOURNAL OF FUTURES MARKETS 30.8(2010):780-794.