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Indexed by:会议论文

Date of Publication:2008-10-12

Included Journals:EI、CPCI-S、Scopus

Page Number:10355-10358

Key Words:futures; futures hedging; hedge ratio; absolute-deviation

Abstract:In this paper, the absolute value-deviation approach is adopted to measure the risk of futures hedging. By minimizing the absolute value-deviation of hedged portfolio, the futures optimal hedge ratio is presented. The contribution of the model is using the absolute value-deviation of hedging return to measure hedging risk. This method does not need the assumption of hedging return following normal distribution, which enhances the hedging effectiveness. The value function of hedging return reflects the risk aversion and risk appetites of hedger, which influence the hedger's decision-making.