Probability in the Engineering and Informational Sciences ( IF 0.7 ) Pub Date : 2022-06-23 , DOI: 10.1017/s0269964822000201 Wan-Yi Chiu
This paper examines the value-at-risk (VaR) implications of mean-variance hedging. We derive an equivalence between the VaR-based hedge and the mean-variance hedging. This method transfers the investor's subjective risk-aversion coefficient into the estimated VaR measure. As a result, we characterize the collapse probability bounds under which the VaR-based hedge could be insignificantly different from the minimum-variance hedge in the presence of estimation risk. The results indicate that the squared information ratio of futures returns is the primary factor determining the difference between the minimum-variance and VaR-based hedges.
中文翻译:
期货对冲的风险价值方法
本文探讨了均值方差对冲对风险价值 (VaR) 的影响。我们推导出基于 VaR 的对冲和均值方差对冲之间的等价关系。该方法将投资者的主观风险厌恶系数转化为估计的VaR测度。因此,我们描述了崩溃概率界限,在该界限下,在存在估计风险的情况下,基于 VaR 的对冲可能与最小方差对冲没有显着差异。结果表明,期货收益的平方信息比是决定最小方差套期保值和基于 VaR 的套期保值之间差异的主要因素。