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Indexed by:会议论文

Date of Publication:2008-01-01

Included Journals:CPCI-SSH

Page Number:59-63

Key Words:futures; futures hedging; hedge ratio; conditional value at risk(CVaR)

Abstract:In this paper, the conditional value at risk (CVaR) approach is adopted to reduce the risk of futures hedged portfolio. By minimizing the conditional value at risk of hedged portfolio, the futures optimal hedge ratio is presented. Furthermore, this paper indicates that CVaR hedge ratio is composed of pure hedging and speculative components.