دانلود مقاله ISI انگلیسی شماره 51239
عنوان فارسی مقاله

روشهای برآورد مهندسی مالی از نسبت پوشش حداقل ریسک

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
51239 2012 7 صفحه PDF سفارش دهید 3330 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Financial Engineering Estimation Methods of Minimum Risk Hedge Ratio
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Systems Engineering Procedia, Volume 3, 2012, Pages 187–193

کلمات کلیدی
مهندسی مالی؛ شاخص معاملات آتی سهام؛ نسبت پوشش؛ حداقل ریسک؛ روش برآورد
پیش نمایش مقاله
پیش نمایش مقاله روشهای برآورد مهندسی مالی از نسبت پوشش حداقل ریسک

چکیده انگلیسی

As an important tool to circumvent the systemic risks in financial engineering, the key for achievement of the performance of stock index futures is dependent on determination of the hedge ratio (HR). In this paper, the minimum risk-based portfolio hedging model is first analyzed. It is then followed by the investigation on various major estimation methods for the minimum risk hedge ratio. Aiming at the newest Shanghai and Shenzhen (HS) 300 index futures hedge, the empirical analyses are eventually performed for the hedge strategies, thus validating the application of these different estimation methods in China's market. The results revealed in the current study show that the HR obtained by the ordinary least squares (OLS) model is maximal and the out-of-sample hedging performance is the best; however, the hedging effectiveness is not sufficiently stable for both the out-of-sample and in-sample estimation. In addition, the in-sample hedging performance accomplished through the bivariate vector autoregression (B-VAR) model is superior to those achieved via other methods. It is manifested further from the results that the HR determined by the error correction (EC) model is minimal and the hedging performances for both the out-of-sample and in-sample data are weak, yet the hedging effectiveness for both of them is stable.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.