The Study on Hedging Model based on Risk Tolerance of Hedgers
In this paper, Value at Risk of hedging portfolio is adopted to measure the risk of futures hedging. The control constraint based on risk tolerance of hedgers is established. The futures optimal hedge ratio is presented by maximizing the return of hedging portfolio under the control constraint. The contributions of the model are as follows: Firstly that we use VaR to construct the control constraint which reflects risk tolerance of hedgers. This method effectively avoids the huge losses suffered by hedging. Secondly, we prove the minimum variance hedging ratio and VaR hedging ratio are special cases of this model.
futures hedging hedge ratio Value at Risk risk tolerance
Cong Sui Guotai Chi Zhongyuan Yang
School of Management Dalian University of Technology Dalian, P.R.China Postdoctoral Workstation Dalian Bank Dalian, P.R.China
国际会议
北京
英文
378-380
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）