Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chung-Chu Chuang, Yi-Hsien Wang, Tsai-Jung Yeh and Shuo-Li Chuang
| Year of publication: |
2015
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|---|---|
| Authors: | Chuang, Chung-Chu ; Wang, Yi-Hsien ; Yeh, Tsai-Jung ; Chuang, Shuo-Li |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 19/21, p. 2040-2052
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| Subject: | expected utility maximization | value-at-risk | GARCH | VEC–ADVECH | hedging effectiveness | futures | Hedging | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Erwartungsnutzen | Expected utility | ARCH-Modell | ARCH model | Futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010513350