Research on Hedging Downside Risk with Skewed and Fat-tailed Distribution

摘要：

The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures returns to estimate the lower partial moments; the LPMs are then used to improve the estimation of optimal hedge ratio. The empirical results for hedging with Hangsheng index futures suggest that our estimation method could provide better hedging performance than the methods based on normal distribution, especially with the increase of investors risk aversion.

关键词： downside risk lower partial moment hedging ratio gram-charlier expansion

作者: HE Chengying ZHANG Longbin CHEN Wei

作者单位: The institute of China Security market, Zhejiang University of Finance & economics, P.R.China, 31001 Post-Doctoral research center, Guosen securities Co.Ltd, P.R.China, 518001

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 509-515

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）