A value-at-risk approach to futures hedge

IF 0.7 3区 工程技术 Q4 ENGINEERING, INDUSTRIAL Probability in the Engineering and Informational Sciences Pub Date : 2022-06-23 DOI:10.1017/s0269964822000201
Wan-Yi Chiu
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Abstract

This paper examines the value-at-risk (VaR) implications of mean-variance hedging. We derive an equivalence between the VaR-based hedge and the mean-variance hedging. This method transfers the investor's subjective risk-aversion coefficient into the estimated VaR measure. As a result, we characterize the collapse probability bounds under which the VaR-based hedge could be insignificantly different from the minimum-variance hedge in the presence of estimation risk. The results indicate that the squared information ratio of futures returns is the primary factor determining the difference between the minimum-variance and VaR-based hedges.
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一种期货对冲的风险价值方法
本文研究了均值-方差套期保值的风险价值(VaR)含义。我们推导了基于var的套期保值与均值-方差套期保值之间的等价关系。该方法将投资者的主观风险厌恶系数转化为估计的VaR测度。因此,我们描述了在存在估计风险的情况下,基于var的套期保值与最小方差套期保值差异不显著的崩溃概率界限。结果表明,期货收益信息的平方比是决定最小方差套期保值与基于var套期保值差异的主要因素。
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来源期刊
CiteScore
2.20
自引率
18.20%
发文量
45
审稿时长
>12 weeks
期刊介绍: The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.
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