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Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350
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Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic modelling 42 (2014), pp. 15-19
Persistent link: https://www.econbiz.de/10010478302
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Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 3, pp. 508-526
Persistent link: https://www.econbiz.de/10012211476