存在估计风险的均值-方差套期保值

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE Review of Derivatives Research Pub Date : 2021-02-11 DOI:10.1007/s11147-021-09176-6

Wan-Yi Chiu

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引用次数: 2

摘要

具有显著风险规避系数的均值方差套期保值(MVH)近似等于最小方差套期保值(MV)。然而，在实践中，风险规避系数应该有多大?基于存在估计风险的统计误差的不同程度，我们确定了风险规避系数的边界，该系数可以显著区分MV套期保值和MVH。基于对冲方差、对冲收益和对冲比率，我们证明了具有广泛风险规避系数范围的MVH投资者的MV对冲在统计上是合理的。此外，显著风险厌恶系数的上界与期货信息比的平方呈正相关。

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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Mean-variance hedging in the presence of estimation risk

The mean-variance hedging (MVH) with a significant risk-aversion coefficient is approximately equal to the minimum-variance (MV) hedge. However, how large the risk-aversion coefficient should be in practice? We determine the boundaries of risk-aversion coefficients that significantly distinguish the MV hedge and the MVH based on the different magnitudes of statistical errors in the presence of estimation risk. Based on the hedged variance, hedged return, and hedge ratio, we show that the MV hedge is statistically justified for MVH investor with an extensive range of risk-aversion coefficients. Additionally, the upper bound of the significant risk-aversion coefficient is positively related to the squared information ratio of futures.

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来源期刊

Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res

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