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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 曾郁仁(Larry Y. Tzeng) | |
dc.contributor.author | Jen-Wei Yang | en |
dc.contributor.author | 楊仁維 | zh_TW |
dc.date.accessioned | 2021-06-08T01:38:27Z | - |
dc.date.copyright | 2017-02-08 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-09-19 | |
dc.identifier.citation | [1] Aumann, R.J., Serrano, R., 2008. An economic measure of riskiness. Journal of Political Economy 116, 810-836.
[2] Brooks, C., Černý, A., Miffre, J., 2012. Optimal hedging with higher moments. Journal of Futures Markets 32, 909-944. [3] Brooks, C., Henry, O.T., Persand, G., 2002. The Effect of Asymmetries on Optimal Hedge Ratios. The Journal of Business 75, 333-352. [4] Chen, S.-S., Lee, C.-F., Shrestha, K., 2001. On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio. Journal of Futures Markets 21, 581-598. [5] Chen, S.-S., Lee, C.-f., Shrestha, K., 2003. Futures hedge ratios: a review. The Quarterly Review of Economics and Finance 43, 433-465. [6] Chen, Y.-T., Ho, K.-Y., Tzeng, L.Y., 2014. Riskiness-minimizing spot-futures hedge ratio. Journal of Banking & Finance 40, 154-164. [7] Cheung, C.S., Kwan, C.C., Yip, P.C., 1990. The hedging effectiveness of options and futures: A mean‐gini approach. Journal of Futures Markets 10, 61-73. [8] De Jong, A., De Roon, F., Veld, C., 1997. Out‐of‐sample hedging effectiveness of currency futures for alternative models and hedging strategies. Journal of Futures Markets 17, 817-837. [9] Ederington, L.H., 1979. The hedging performance of the new futures markets. The Journal of Finance 34, 157-170. [10] Homm, U., Pigorsch, C., 2012. Beyond the Sharpe ratio: An application of the Aumann–Serrano measure to performance measurement. Journal of Banking & Finance 36, 2274-2284. [11] Howard, C.T., D'Antonio, L.J., 1984. A Risk-Return Measure of Hedging Effectiveness. The Journal of Financial and Quantitative Analysis 19, 101-112. [12] Hsln, C.W., Kuo, J., Lee, C.F., 1994. A new measure to compare the hedging effectiveness of foreign currency futures versus options. Journal of Futures Markets 14, 685-707. [13] Johnson, L.L., 1960. The theory of hedging and speculation in commodity futures. The Review of Economic Studies 27, 139-151. [14] Kadan, O., Liu, F., 2014. Performance evaluation with high moments and disaster risk. Journal of Financial Economics 113, 131-155. [15] Kolb, R.W., Okunev, J., 1993. Utility maximizing hedge ratios in the extended mean gini framework. Journal of Futures Markets 13, 597-609. [16] Lien, D., 2003. The effect of liquidity constraints on futures hedging. Journal of Futures Markets 23, 603-613. [17] Lien, D., Luo, X., 1993. Estimating multiperiod hedge ratios in cointegrated markets. Journal of Futures Markets 13, 909-920. [18] Lien, D., Tse, Y.K., 1998. Hedging time-varying downside risk. Journal of Futures Markets 18, 705-722. [19] Myers, R.J., Thompson, S.R., 1989. Generalized optimal hedge ratio estimation. American Journal of Agricultural Economics 71, 858-868. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18883 | - |
dc.description.abstract | 本文首先提出一個新的績效指標,稱為一般化經濟績效指標。此指標定義為超額報酬之平均數除以經濟風險指標的 次方。其中,經濟風險指標是由Aumann and Serrano (2008)所提出,且 值被稱為平均數-經濟風險指標係數。當 值等於1,此一般化經濟績效指標等同於Homm and Pigorsch (2012)所提出的經濟績效指標。再者,藉由極大化現貨與期貨的投資組合超額報酬的一般化經濟績效指標,提出一個新的最佳期貨避險比率。在給定某一 值下,此新的期貨避險方法保證沒有其他投資組合會二階隨機優勢於最佳的投資組合。當 值趨近於無窮大,此新的期貨避險比率等同於Chen et al. (2014)所提出的經濟風險指標極小化的期貨避險比率。實證結果指出最佳投資組合之超額報酬的平均數與經濟風險指標會同時伴隨著 值的降低而增加。此滿足所謂的高風險會帶來高報酬的財務特性。最後,本文闡述Homm and Pigorsch (2012)所提出的經濟績效指標並不適合去決定最佳期貨避險比率,因其最佳期貨避險比率不一定存在。 | zh_TW |
dc.description.abstract | This paper proposes a new spot-futures hedge method that the optimal hedge ratio is determined by maximizing a new performance measure of the hedge portfolio excess return. This new performance measure is constructed by combining the mean with the economic measure of riskiness of excess return through a mean-riskiness coefficient, where the economic measure of riskiness is proposed by Aumann and Serrano (2008). This new performance measure generalizes the economic performance measure proposed by Homm and Pigorsch (2012). Furthermore, this new performance-maximizing hedge method guarantees that, given a mean-riskiness coefficient, no other portfolio exhibits a second-order stochastic dominance over the optimal portfolio, and the optimal hedge ratio generalizes the riskiness-minimizing hedge ratio proposed by Chen et al. (2014). The empirical results show that a lower mean-riskiness coefficient produces both the higher mean and economic measure of riskiness of a hedge portfolio excess return. This implies that this hedge method satisfies the mean-risk tradeoff property. Finally, this paper demonstrates that the economic performance measure is not suitable for determining the spot-futures hedge ratio because its optimal hedge ratio does not always exist. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T01:38:27Z (GMT). No. of bitstreams: 1 ntu-105-D96723011-1.pdf: 1409608 bytes, checksum: f1963562db03aa87f31f7eed9c3850fb (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | Acknowledgement i
中文摘要 ii Abstract iii 1. Introduction 1 2. Generalized economic performance measure 6 2.1. R measure 6 2.2. The properties of GEPM 9 2.2.1. Monotonicity with respect to F(S)OSD 9 2.2.2. Calculating the GEPM 9 2.3. Other performance measures relative to the R measure 10 3. Some hedge methods 12 3.1. Risk-minimizing hedge ratios 13 3.2. Performance-maximizing hedge ratios 14 4.G EPM-max hedge ratio 16 4.1. Mean-riskiness coefficient effect 17 4.2. Normality 20 4.3. Generalized distribution 22 5. Estimations and Empirical examples 24 5.1. Basic statistics and estimation of GEPM 24 5.2. Estimations of the GEPM-max hedge ratios 26 5.3. Existences of the EPM-max and GEPM-max hedge ratios 28 5.4. Hedging efficient and mean-risk coefficient effect 28 6. Conclusion 31 Reference 38 Appendix 40 A.1. Proof of Proposition 1. 40 A.2. Proof of Proposition 2. 41 A.3. Proofs of Proposition 3 and Equation (37). 43 A.4. Proof of Proposition 4. 46 | |
dc.language.iso | en | |
dc.title | 一般化經濟績效指標之期貨避險方法 | zh_TW |
dc.title | Generalized Economic Performance-Maximizing Spot-Futures Hedge Method | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-1 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 石百達(Pai-Ta Shih),何耕宇(Keng-Yu Ho),黃瑞卿(Rachel-Juiching Huang),王仁宏(Jen-Hung Wang) | |
dc.subject.keyword | 期貨避險,績效指標,最佳避險比率,期望報酬與風險抵換,隨機優勢, | zh_TW |
dc.subject.keyword | Spot-future hedge,Performance measure,Optimal hedge ratio,Mean-risk tradeoff,Stochastic dominances, | en |
dc.relation.page | 49 | |
dc.identifier.doi | 10.6342/NTU201603229 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2016-09-19 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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