对冲农产品下跌风险:一种新颖的非参数核方法

IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-10-28 DOI:10.1016/j.frl.2024.106340
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引用次数: 0

摘要

本文利用非参数核方法,建立了一个加权条件风险价值对冲模型,以对冲农产品的下跌风险。该模型具有凸性,可确保获得全局最优解。模拟表明,非参数核方法提高了加权条件风险价值和对冲比率确定的准确性,优于传统的估计方法。利用主要农产品的经验证据表明,与最小方差、最小风险价值和最小条件风险价值对冲模型相比,所提出的模型在降低下行风险方面更具优势。
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Hedging downside risk in agricultural commodities: A novel nonparametric kernel method
Using a nonparametric kernel method, this paper develops a weighted conditional value-at-risk hedge model to hedge downside risks in agricultural commodities. The model exhibits convexity, ensuring the acquisition of its global optimal solution. Simulations show that the nonparametric kernel method enhances the accuracy of the weighted conditional value-at-risk and hedge ratio determination, outperforming traditional estimation methods. Using major agricultural commodities, empirical evidence shows the superiority of the proposed model in reducing downside risks, compared to the minimum variance, minimum value-at-risk, and minimum conditional value-at-risk hedge models.
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来源期刊
Finance Research Letters
Finance Research Letters BUSINESS, FINANCE-
CiteScore
11.10
自引率
14.40%
发文量
863
期刊介绍: Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance
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