An optimal multi-step quadratic risk-adjusted hedging strategy

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105725

Title:	An optimal multi-step quadratic risk-adjusted hedging strategy
Authors:	黃士峰;Huang, Shih-Feng;Guo, Meihui
Contributors:	理學院統計研究所
Keywords:	Applied Statistics;Bayesian Inference;Discrete time hedging;Extended Girsanov principle;Multi-step hedging;Quadratic risk minimization;Risk-adjusted criterion;Statistical Theory and Methods;Statistics;Statistics and Computing/Statistics Programs;통계학
Date:	2013-03-01
Issue Date:	2026-04-23 12:50:37 (UTC+8)
Publisher:	Korean Statistical Society;Singapore: Elsevier B.V
Abstract:	摘要： An optimal multi-step hedging strategy is proposed to minimize one’s exposure to risk. The proposed strategy, called the QRA-hedging, is based on the minimization of the quadratic risk-adjusted hedging costs and extends the result of Elliott and Madan (1998) to the multi-step case. The multi-step QRA-hedging cost is proved to be the same as the no-arbitrage price derived by the extended Girsanov principle. The QRA-hedging strategy is investigated under complete and incomplete market models. A regression-based method is proposed to estimate the QRA-hedging positions. And a dynamic programming is developed to facilitate computation of the QRA-hedging strategy. Simulation and empirical studies are performed to compare the QRA with other hedging strategies under complete and incomplete market models. 其他題名： J. Korean Stat. Soc 出版者： Singapore: Elsevier B.V 出版日期： 2013-03-01 出處： Journal of the Korean Statistical Society, 2013, 42(1), , pp.37-49 版權： 2012 The Korean Statistical Society 版權： Korean Statistical Society 2012 識別號： ISSN: 1226-3192 識別號： EISSN: 2005-2863 識別號： DOI: 10.1016/j.jkss.2012.04.008
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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