dynanmic-hedge-and-ratio.zip

  • 霍元甲
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  • 2017-05-15 21:01
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很好的讲对冲策略以及对冲比例以及优度,值得一看
dynanmic-hedge-and-ratio.zip
  • 将两个风险的直接,浏览而已.pdf
    125.4KB
  • 抽空浏览吧,虽然是最小方差ratio方法的另一个方法,但是有点老了,不一定能更新上.pdf
    237.6KB
  • 不知名,浏览.pdf
    1.7MB
  • SSRN-id2498630两个风险的.pdf
    205.4KB
  • On the Effectiveness of Dynamic可打印看一眼,不是发表的感觉.pdf
    384.8KB
内容介绍
<html xmlns="http://www.w3.org/1999/xhtml"> <head> <meta charset="utf-8"> <meta name="generator" content="pdf2htmlEX"> <meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1"> <link rel="stylesheet" href="https://static.pudn.com/base/css/base.min.css"> <link rel="stylesheet" href="https://static.pudn.com/base/css/fancy.min.css"> <link rel="stylesheet" href="https://static.pudn.com/prod/directory_preview_static/625b010692dc900e62f93b9f/raw.css"> <script src="https://static.pudn.com/base/js/compatibility.min.js"></script> <script src="https://static.pudn.com/base/js/pdf2htmlEX.min.js"></script> <script> try{ pdf2htmlEX.defaultViewer = new pdf2htmlEX.Viewer({}); }catch(e){} </script> <title></title> </head> <body> <div id="sidebar" style="display: none"> <div id="outline"> </div> </div> <div id="pf1" class="pf w0 h0" data-page-no="1"><div class="pc pc1 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="https://static.pudn.com/prod/directory_preview_static/625b010692dc900e62f93b9f/bg1.jpg"><div class="t m0 x1 h2 y1 ff1 fs0 fc0 sc0 ls0 ws0">Return<span class="_ _0"> </span>and<span class="_ _0"> </span>volatility<span class="_ _0"> </span>transmission<span class="_ _0"> </span>between<span class="_ _0"> </span>gold<span class="_ _0"> </span>and</div><div class="t m0 x1 h2 y2 ff1 fs0 fc0 sc0 ls1 ws0">stock<span class="_ _1"> </span>sectors:<span class="_ _1"> </span>Application<span class="_ _1"> </span>of<span class="_ _1"> </span>portfolio<span class="_ _1"> </span>management</div><div class="t m0 x1 h2 y3 ff1 fs0 fc0 sc0 ls0 ws0">and<span class="_ _1"> </span>hedging<span class="_ _1"> </span>effectiveness</div><div class="t m0 x1 h3 y4 ff1 fs1 fc0 sc0 ls0 ws0">Dilip<span class="_ _2"> </span>Kumar</div><div class="t m0 x2 h3 y5 ff1 fs1 fc1 sc0 ls0 ws0">*</div><div class="t m0 x1 h4 y6 ff2 fs2 fc0 sc0 ls0 ws0">Institute<span class="_ _3"> </span>for<span class="_ _3"> </span>Financial<span class="_ _3"> </span>Management<span class="_ _3"> </span>and<span class="_ _3"> </span>Research,<span class="_ _3"> </span>Nungambakkam,<span class="_ _3"> </span>Chennai<span class="_ _3"> </span>600034,<span class="_ _3"> </span>India</div><div class="t m0 x3 h5 y7 ff1 fs3 fc0 sc0 ls0 ws0">KEYWORDS</div><div class="t m0 x3 h6 y8 ff3 fs2 fc0 sc0 ls0 ws0">Gold;</div><div class="t m0 x3 h6 y9 ff3 fs2 fc0 sc0 ls0 ws0">Hedging<span class="_ _3"> </span>effectiveness;</div><div class="t m0 x3 h6 ya ff3 fs2 fc0 sc0 ls0 ws0">Portfolio<span class="_ _3"> </span>diversi&#64257;cation;</div><div class="t m0 x3 h6 yb ff3 fs2 fc0 sc0 ls0 ws0">V<span class="_ _4"></span>AR-ADCC-BVGARCH</div><div class="t m0 x3 h6 yc ff3 fs2 fc0 sc0 ls0 ws0">model;</div><div class="t m0 x3 h6 yd ff3 fs2 fc0 sc0 ls0 ws0">Hedge<span class="_ _3"> </span>ratio</div><div class="t m0 x4 h7 ye ff1 fs4 fc0 sc0 ls0 ws0">Abstract<span class="_ _5"> </span><span class="ff3">The<span class="_ _3"> </span>paper<span class="_ _3"> </span>investigates<span class="_ _3"> </span>the<span class="_ _3"> </span>&#64257;rst<span class="_ _3"> </span>and<span class="_ _3"> </span>second<span class="_ _3"> </span>orders<span class="_ _6"> </span>moment<span class="_ _3"> </span>transmissio<span class="_ _7"></span>n<span class="_ _6"> </span>betwee<span class="_ _7"></span>n</span></div><div class="t m0 x4 h7 yf ff3 fs4 fc0 sc0 ls0 ws0">gold<span class="_ _8"> </span>and<span class="_ _8"> </span>Indian<span class="_ _8"> </span>industrial<span class="_ _8"> </span>sectors<span class="_ _8"> </span>with<span class="_ _8"> </span>an<span class="_ _8"> </span>application<span class="_ _8"> </span>of<span class="_ _8"> </span>portfolio<span class="_ _8"> </span>design<span class="_ _8"> </span>and<span class="_ _9"> </span>hedging<span class="_ _9"> </span>effective-</div><div class="t m0 x4 h7 y10 ff3 fs4 fc0 sc0 ls0 ws0">ness<span class="_ _6"> </span>using<span class="_ _6"> </span>generalised<span class="_ _6"> </span>VAR-ADCC-BVGARCH<span class="_ _6"> </span>model.<span class="_ _6"> </span>Our<span class="_ _6"> </span>&#64257;ndings<span class="_ _6"> </span>indicate<span class="_ _6"> </span>unidirectional<span class="_ _6"> </span>signif-</div><div class="t m0 x4 h7 y11 ff3 fs4 fc0 sc0 ls0 ws0">icant<span class="_ _9"> </span>return<span class="_ _8"> </span>spillover<span class="_ _8"> </span>from<span class="_ _8"> </span>gold<span class="_ _8"> </span>to<span class="_ _8"> </span>stock<span class="_ _8"> </span>sectors.<span class="_ _8"> </span>The<span class="_ _8"> </span>negative<span class="_ _8"> </span>values<span class="_ _9"> </span>of<span class="_ _8"> </span>estimated<span class="_ _8"> </span>time<span class="_ _8"> </span>varying</div><div class="t m0 x4 h7 y12 ff3 fs4 fc0 sc0 ls0 ws0">condi<span class="_ _7"></span>tio<span class="_ _7"></span>nal<span class="_ _3"> </span>co<span class="_"> </span>r<span class="_ _7"></span>relat<span class="_ _7"></span>ion<span class="_ _7"></span>s<span class="_ _6"> </span>ar<span class="_ _7"></span>e<span class="_ _3"> </span>main<span class="_ _7"></span>ly<span class="_ _3"> </span>obs<span class="_ _7"></span>erve<span class="_ _7"></span>d<span class="_ _6"> </span>d<span class="_ _7"></span>urin<span class="_ _7"></span>g<span class="_ _6"> </span>pe<span class="_ _7"></span>rio<span class="_ _7"></span>ds<span class="_ _3"> </span>of<span class="_ _3"> </span>mark<span class="_ _7"></span>et<span class="_ _3"> </span>turb<span class="_ _7"></span>ule<span class="_ _7"></span>nce<span class="_ _3"> </span>and<span class="_ _3"> </span>cr<span class="_ _7"></span>isis</div><div class="t m0 x4 h7 y13 ff3 fs4 fc0 sc0 ls0 ws0">indicating<span class="_ _6"> </span>the<span class="_ _6"> </span>scope<span class="_ _6"> </span>of<span class="_ _6"> </span>portfolio<span class="_ _a"> </span>diversi&#64257;cation<span class="_ _6"> </span>and<span class="_ _a"> </span>hedging<span class="_ _6"> </span>during<span class="_ _6"> </span>these<span class="_ _6"> </span>periods.<span class="_ _6"> </span>We<span class="_ _a"> </span>also<span class="_ _6"> </span>es-</div><div class="t m0 x4 h7 y14 ff3 fs4 fc0 sc0 ls0 ws0">timate<span class="_ _a"> </span>optimal<span class="_ _a"> </span>weights,<span class="_ _a"> </span>hedge<span class="_ _6"> </span>ratios,<span class="_ _a"> </span>and<span class="_ _a"> </span>hedging<span class="_ _a"> </span>effectiveness<span class="_ _6"> </span>for<span class="_ _a"> </span>the<span class="_ _a"> </span>stock-gold<span class="_ _a"> </span>portfolios.</div><div class="t m0 x4 h7 y15 ff3 fs4 fc0 sc0 ls0 ws0">Our<span class="_ _9"> </span>&#64257;ndings<span class="_ _8"> </span>suggest<span class="_ _9"> </span>that<span class="_ _8"> </span>stock-gold<span class="_ _9"> </span>portfolio<span class="_ _8"> </span>provides<span class="_ _9"> </span>better<span class="_ _8"> </span>diversi&#64257;cation<span class="_ _8"> </span>bene&#64257;ts<span class="_ _9"> </span>than<span class="_ _8"> </span>stock</div><div class="t m0 x4 h7 y16 ff3 fs4 fc0 sc0 ls0 ws0">portfolios.</div><div class="t m0 x4 h7 y17 ff4 fs4 fc0 sc0 ls0 ws0">&#170;<span class="_ _6"> </span><span class="ff3">2014<span class="_ _6"> </span>Indian<span class="_ _3"> </span>Institute<span class="_ _6"> </span>of<span class="_ _6"> </span>Management<span class="_ _3"> </span>Bangalore.<span class="_ _6"> </span>All<span class="_ _3"> </span>rights<span class="_ _6"> </span>reserved.</span></div><div class="t m0 x1 h8 y18 ff1 fs5 fc0 sc0 ls0 ws0">Introduction</div><div class="t m0 x1 h6 y19 ff3 fs2 fc0 sc0 ls0 ws0">The<span class="_ _6"> </span>stock<span class="_ _6"> </span>markets<span class="_ _3"> </span>in<span class="_ _6"> </span>India<span class="_ _3"> </span>have<span class="_ _6"> </span>grown<span class="_ _3"> </span>signi&#64257;cantly<span class="_ _6"> </span>in<span class="_ _6"> </span>both</div><div class="t m0 x1 h6 y1a ff3 fs2 fc0 sc0 ls0 ws0">value<span class="_ _b"> </span>and<span class="_ _b"> </span>volume<span class="_ _b"> </span>in<span class="_ _b"> </span>the<span class="_ _b"> </span>last<span class="_ _b"> </span>decade.<span class="_ _b"> </span>This<span class="_ _b"> </span>has<span class="_ _b"> </span>also<span class="_ _c"> </span>made</div><div class="t m0 x1 h6 y1b ff3 fs2 fc0 sc0 ls0 ws0">available<span class="_ _d"> </span>enormous<span class="_ _d"> </span>investment<span class="_ _d"> </span>and<span class="_ _d"> </span>trading<span class="_ _d"> </span>opportunities</div><div class="t m0 x1 h6 y1c ff3 fs2 fc0 sc0 ls0 ws0">for<span class="_ _b"> </span>market<span class="_ _d"> </span>participants.<span class="_ _d"> </span>Emerging<span class="_ _b"> </span>markets<span class="_ _b"> </span>such<span class="_ _d"> </span>as<span class="_ _b"> </span>India,</div><div class="t m0 x1 h6 y1d ff3 fs2 fc0 sc0 ls0 ws0">provide<span class="_ _a"> </span>opportunities<span class="_ _6"> </span>to<span class="_ _a"> </span>earn<span class="_ _6"> </span>high<span class="_ _a"> </span>returns<span class="_ _6"> </span>in<span class="_ _a"> </span>comparison<span class="_ _6"> </span>to</div><div class="t m0 x1 h6 y1e ff3 fs2 fc0 sc0 ls0 ws0">what<span class="_ _2"> </span>can<span class="_ _d"> </span>be<span class="_ _2"> </span>earned<span class="_ _2"> </span>by<span class="_ _d"> </span>investing<span class="_ _2"> </span>in<span class="_ _2"> </span>developed<span class="_ _d"> </span>markets.</div><div class="t m0 x5 h6 y1f ff3 fs2 fc0 sc0 ls0 ws0">Hence,<span class="_ _8"> </span>emerging<span class="_ _a"> </span>markets<span class="_ _a"> </span>have<span class="_ _8"> </span>become<span class="_ _a"> </span>an<span class="_ _a"> </span>attractive<span class="_ _8"> </span>haven</div><div class="t m0 x5 h6 y20 ff3 fs2 fc0 sc0 ls0 ws0">of<span class="_ _2"> </span>investment<span class="_ _2"> </span>for<span class="_ _d"> </span>major<span class="_ _2"> </span>global<span class="_ _2"> </span>&#64257;nancial<span class="_ _2"> </span>institutional<span class="_ _2"> </span>in-</div><div class="t m0 x5 h6 y21 ff3 fs2 fc0 sc0 ls0 ws0">vestors<span class="_ _b"> </span>resulting<span class="_ _b"> </span>in<span class="_ _b"> </span>signi&#64257;cant<span class="_ _b"> </span>capital<span class="_ _b"> </span>in&#64258;ows<span class="_ _b"> </span>from<span class="_ _b"> </span>devel-</div><div class="t m0 x5 h6 y22 ff3 fs2 fc0 sc0 ls0 ws0">oped<span class="_ _e"> </span>markets<span class="_ _e"> </span>to<span class="_ _e"> </span>emerging<span class="_ _e"> </span>markets.<span class="_ _e"> </span>However<span class="_ _4"></span>,<span class="_ _2"> </span>emerging</div><div class="t m0 x5 h6 y23 ff3 fs2 fc0 sc0 ls0 ws0">markets<span class="_ _3"> </span>are<span class="_ _c"> </span>more<span class="_ _3"> </span>vulnerable<span class="_ _c"> </span>to<span class="_ _3"> </span>negative<span class="_ _c"> </span>news<span class="_ _6"> </span>and<span class="_ _c"> </span>events</div><div class="t m0 x5 h6 y24 ff3 fs2 fc0 sc0 ls0 ws0">happening<span class="_ _c"> </span>elsewhere<span class="_ _c"> </span>which<span class="_ _c"> </span>usually<span class="_ _c"> </span>results<span class="_ _c"> </span>in<span class="_ _b"> </span>institutional</div><div class="t m0 x5 h6 y25 ff3 fs2 fc0 sc0 ls0 ws0">investments<span class="_ _a"> </span>&#64258;owing<span class="_ _8"> </span>in<span class="_ _a"> </span>to<span class="_ _a"> </span>or<span class="_ _a"> </span>out<span class="_ _a"> </span>of<span class="_ _a"> </span>the<span class="_ _a"> </span>market.<span class="_ _a"> </span>This<span class="_ _a"> </span>creates</div><div class="t m0 x5 h6 y26 ff3 fs2 fc0 sc0 ls0 ws0">an<span class="_ _c"> </span>environment<span class="_ _3"> </span>of<span class="_ _c"> </span>high<span class="_ _f"> </span>volatility<span class="_ _f"> </span>and<span class="_ _f"> </span>uncertainty<span class="_ _f"> </span>in<span class="_ _c"> </span>these</div><div class="t m0 x5 h6 y27 ff3 fs2 fc0 sc0 ls0 ws0">markets.<span class="_ _3"> </span>The<span class="_ _3"> </span>global<span class="_ _3"> </span>stock<span class="_ _3"> </span>markets<span class="_ _3"> </span>also<span class="_ _f"> </span>have<span class="_ _3"> </span>been<span class="_ _3"> </span>hit<span class="_ _3"> </span>by<span class="_ _3"> </span>a</div><div class="t m0 x5 h6 y28 ff3 fs2 fc0 sc0 ls0 ws0">series<span class="_ _a"> </span>of<span class="_ _6"> </span>crises<span class="_ _a"> </span>and<span class="_ _6"> </span>turbulences<span class="_ _a"> </span>over<span class="_ _6"> </span>the<span class="_ _6"> </span>past<span class="_ _a"> </span>few<span class="_ _6"> </span>decades.</div><div class="t m0 x5 h6 y29 ff3 fs2 fc0 sc0 ls0 ws0">These<span class="_ _b"> </span>crises<span class="_ _d"> </span>have<span class="_ _b"> </span>their<span class="_ _b"> </span>origin<span class="_ _d"> </span>in<span class="_ _b"> </span>different<span class="_ _b"> </span>economies<span class="_ _d"> </span>but</div><div class="t m0 x5 h6 y2a ff3 fs2 fc0 sc0 ls0 ws0">the<span class="_ _3"> </span>spillover<span class="_ _3"> </span>effects<span class="_ _3"> </span>have<span class="_ _3"> </span>been<span class="_ _3"> </span>seen<span class="_ _3"> </span>in<span class="_ _3"> </span>important<span class="_ _3"> </span>&#64257;nancial</div><div class="t m0 x5 h6 y2b ff3 fs2 fc0 sc0 ls0 ws0">markets<span class="_ _c"> </span>around<span class="_ _b"> </span>the<span class="_ _c"> </span>globe.<span class="_ _b"> </span>Since<span class="_ _c"> </span>1999,<span class="_ _b"> </span>the<span class="_ _c"> </span>crises<span class="_ _b"> </span>that<span class="_ _c"> </span>hit</div><div class="t m0 x5 h6 y2c ff3 fs2 fc0 sc0 ls0 ws0">India<span class="_ _f"> </span>include<span class="_ _f"> </span>the<span class="_ _f"> </span>dot-com<span class="_ _c"> </span>bubble<span class="_ _f"> </span>crisis<span class="_ _c"> </span>in<span class="_ _f"> </span>2000<span class="ff5">e</span>2001,<span class="_ _f"> </span>the</div><div class="t m0 x5 h6 y2d ff3 fs2 fc0 sc0 ls0 ws0">US<span class="_ _c"> </span>sub-prime<span class="_ _c"> </span>crisis<span class="_ _b"> </span>in<span class="_ _c"> </span>2007<span class="ff5">e</span>2009,<span class="_ _b"> </span>and<span class="_ _c"> </span>the<span class="_ _b"> </span>European<span class="_ _c"> </span>debt</div><div class="t m0 x5 h6 y2e ff3 fs2 fc0 sc0 ls0 ws0">crisis<span class="_ _6"> </span>in<span class="_ _f"> </span>2010<span class="ff5">e</span>2012.<span class="_ _3"> </span>During<span class="_ _3"> </span>these<span class="_ _3"> </span>periods,<span class="_ _3"> </span>the<span class="_ _3"> </span>Indian<span class="_ _3"> </span>stock</div><div class="t m0 x5 h6 y2f ff3 fs2 fc0 sc0 ls0 ws0">market<span class="_ _8"> </span>has<span class="_ _8"> </span>shown<span class="_ _a"> </span>excessive<span class="_ _8"> </span>volatility<span class="_ _8"> </span>and<span class="_ _a"> </span>drastic<span class="_ _8"> </span>drop<span class="_ _8"> </span>in<span class="_ _a"> </span>its</div><div class="t m0 x5 h6 y30 ff3 fs2 fc0 sc0 ls0 ws0">values<span class="_ _c"> </span>which<span class="_ _b"> </span>has<span class="_ _c"> </span>been<span class="_ _b"> </span>a<span class="_ _b"> </span>cause<span class="_ _c"> </span>for<span class="_ _b"> </span>concern<span class="_ _c"> </span>to<span class="_ _b"> </span>regulators,</div><div class="t m0 x1 h9 y31 ff3 fs6 fc0 sc0 ls0 ws0">*<span class="_ _f"> </span>T<span class="_ _4"></span>el.:<span class="_ _a"> </span><span class="ff6">&#254;</span>91<span class="_ _6"> </span>(0)44<span class="_ _a"> </span>2830<span class="_ _6"> </span>3542;<span class="_ _6"> </span>fax:<span class="_ _a"> </span><span class="ff6">&#254;</span>91<span class="_ _6"> </span>(0)44<span class="_ _6"> </span>2827<span class="_ _a"> </span>9208.</div><div class="t m0 x1 h9 y32 ff2 fs6 fc0 sc0 ls0 ws0">E-mail<span class="_ _a"> </span>addresses:<span class="_ _6"> </span><span class="ff3 fc1">dksic212@gmail.com,<span class="_ _a"> </span>dilip.kumar@ifmr<span class="_ _4"></span>.ac.in</span></div><div class="t m0 x1 h9 y33 ff3 fs6 fc0 sc0 ls0 ws0">Peer-review<span class="_ _9"> </span>under<span class="_ _8"> </span>responsibility<span class="_ _8"> </span>of<span class="_ _8"> </span>Indian<span class="_ _8"> </span>Institute<span class="_ _8"> </span>of<span class="_ _8"> </span>Management</div><div class="t m0 x1 h9 y34 ff3 fs6 fc0 sc0 ls0 ws0">Bangalore</div><div class="t m0 x6 ha y35 ff7 fs2 fc0 sc0 ls2 ws0">available<span class="_ _6"> </span>at<span class="_ _6"> </span><span class="fc1 ls3">www.sciencedirect.com</span></div><div class="t m0 x7 hb y36 ff8 fs7 fc0 sc0 ls0 ws0">ScienceDirec<span class="_ _10"></span>t</div><div class="t m0 x8 hc y37 ff9 fs6 fc0 sc0 ls4 ws0">journal<span class="_ _6"> </span>homepage:<span class="_ _a"> </span>www.else<span class="_ _7"></span><span class="ls5">vier.com/locate/iimb</span></div><div class="t m1 x9 hd y38 ffa fs8 fc2 sc0 ls6 ws1">Production and hosting by Elsevier</div><div class="t m0 x1 h9 y39 ff3 fs6 fc1 sc0 ls0 ws0">IIMB<span class="_ _a"> </span>Management<span class="_ _a"> </span>Review<span class="_ _6"> </span>(2014)<span class="_ _a"> </span><span class="ff1">26</span><span class="ls7">,5<span class="_ _11"></span><span class="ff5 ls0">e<span class="ff3">16</span></span></span></div><div class="t m0 x1 h9 y3a ff3 fs6 fc0 sc0 ls0 ws0">0970-3896<span class="_ _a"> </span><span class="ff4">&#170;<span class="_ _6"> </span></span>2014<span class="_ _6"> </span>Indian<span class="_ _a"> </span>Institute<span class="_ _a"> </span>of<span class="_ _6"> </span>Management<span class="_ _a"> </span>Bangalore.<span class="_ _6"> </span>All<span class="_ _a"> </span>rights<span class="_ _6"> </span>reserved.</div><div class="t m0 x1 h9 y3b ff3 fs6 fc1 sc0 ls0 ws0">http://dx.doi.org/10.1016/j.iimb.2013.12.00<span class="_ _4"></span>2</div><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m2"></div></a></div><div class="pi" data-data='{"ctm":[1.612697,0.000000,0.000000,1.612697,0.000000,0.000000]}'></div></div> </body> </html>
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