Optimal Risk Measures and Their Hedging Effectiveness
碩士 === 淡江大學 === 財務金融學系 === 91 === There are many downside risk measures proposed in the literatures, such as variance, lower partial moment（LPM）, Value-at-risk（VaR） and expected shortfall（ES）. Each of these risk measures has its own appealing as well as disadvantages. The difference of hedging strat...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/63946548756641100785 |