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论文类型： 会议论文

发表时间： 2008-10-12

收录刊物： EI、CPCI-S、Scopus

页面范围： 10355-10358

关键字： futures; futures hedging; hedge ratio; absolute-deviation

摘要： 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.