一种度量事件跳跃风险补偿的替代方法

Applied Financial Economics Letters Pub Date : 2008-09-26 DOI:10.1080/17446540701720683

Shu-Hsien Chen, M. Tsai, Fangfang Liao

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引用次数: 1

摘要

投资组合管理策略可以从度量事件跳跃的会计成本中获得额外的财富。这项研究抓住了现实世界中国际股票回报跳跃的特点。这个框架作品遵循Das和Uppal(2004)，并弥补了第2817页的差距。在他们的研究中，我们发现在补偿财富的最终解中存在一个期望项的问题。本文还发现了跳跃大小与投资组合权重对风险补偿的关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An alternative method for measuring risk compensation of event jumps

The portfolio management strategy can gain additional wealth from measuring the cost of accounting for events jumps. This study captures the characteristic of jumps on international equities return in the real world. This frame work follows the Das and Uppal (2004) and bridges the gap on the p. 2817. We find, in their study, the problem that exists an expected term in the final solution of compensating wealth. This article also finds some relationship between the jump size and portfolio weights on the risk compensation.

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Applied Financial Economics Letters

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