Hedging portfolio risk management with VaR

被引：0

作者：

Guo, Haochen ^{[1
]}

机构：

[1] VSB Tech Univ Ostrava, Fac Econ, Dept Finance, Sokolska Trida 33, Ostrava 70200, Czech Republic

来源：

FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2017年

关键词：

Hedging strategy; portfolio optimization; Value at Risk (VaR);

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Hedging is the traditional approach to market risk management. It consists of taking positions that lower the risk profile of the portfolio. Usually, hedging strategy eliminating the financial risk and decrease low when operating the investment. It verified that application of chosen hedging strategy leads to decreasing or reducing the financial risk in financial market. This paper presents the hedging strategy f portfolio optimization based on Value at Risk (VaR) which considering normal distribution returns. The objective of paper is verifying of minimal VaR hedging portfolio. The method of verification that chosen hedging portfolio that estimating parameters of in-sample period and evaluate out-of-sample period.

引用

页码：264 / 269

页数：6