避險比率的預測與績效評估-類神經網路的運用

• Main Authors: Jay, 卓英傑
• Other Authors: Dr.Quan-Yuan Lin
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/14132263114631692573

碩士 === 國立臺北大學 === 企業管理學系 === 89 === This research use neural network to discuss investor to make use of reward rates and stock indexs to forecast hedging rates in different hedging strategies.At the same time we access the effect of hedging. 1、This research makes TSE as spot goods,and SIMEX as hedging tool,trying to set up Backpropagation models to forecast hedging rates.Also this research try to find the best model of each hedging strategies. 2、We use five hedging strategies to hedge risk and make use of the best model of each strategy to assess effect. 3、This research also evaluate expiration date effect and period effect of hedging rates and hedging effects of all strategies.