کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1152147 | 958271 | 2013 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A simple test of optimal hedging policy
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper investigates the equivalence between the optimal hedge ratio derived in a risk-return simplification and the optimal hedge ratio using mean–variance analysis. In accordance with this relationship, we develop a simple regression-based test for evaluating the hedging effectiveness of the risk-return hedging. As a result, a tt-test and an FF-test are designed to examine the hedge ratio and hedging effectiveness, respectively. An example of hedging is also provided to illustrate this process.
► We model Howard–D’Antonio risk-return hedging by a regression-based approach.
► We develop att-statistic for testing the optimal hedge ratio.
► We derive an FF-statistic that can be used to evaluate the hedging effectiveness.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 83, Issue 4, April 2013, Pages 1062–1070
Journal: Statistics & Probability Letters - Volume 83, Issue 4, April 2013, Pages 1062–1070
نویسندگان
Wan-Yi Chiu,