รหัสดีโอไอ 10.14456/tresp.2019.6
Creator Aran Phringphred
Title Time-Varying Risk Aversion: A Dynamic Application in Index Hedging
Publisher Thammasat University
Publication Year 2019
Journal Title Thammasat Review of Economic and Social Policy
Journal Vol. 5
Journal No. 2
Page no. 62-102
Keyword Degree of risk aversion ,Hedging ,GARCH-M ,Multivariate GARCH-DCC ,Risk management
URL Website http://www.tresp.econ.tu.ac.th/
Website title Thammasat Review of Economic and Social Policy
ISSN 2465-4167
Abstract Degree of risk aversion has recently been claimed as important factor in determining hedge ratio level since the conventional minimum variance hedge ratio (MVHR) with risk minimization objective can lead to a suboptimal hedge level. By taking into account investors' risk attitude through their degree of risk aversion and expected return, the risk aversion hedge ratio (RAHR) can help investors maximise their utility. A GARCH-M model was estimated to determine time varying risk aversion (TVRA) and classify short and long hedgers. Multivariate GARCH-DCC models were then applied, to estimate the expected return equation model and conditional variance and covariance models, and to determine the optimal hedge ratio of RAHR. The results revealed that the RAHR portfolio with lower hedge ratio outperformed MVHR portfolio for both short and long hedgers in terms of return, expected utility, risk adjusted returns and hedging cost. Additionally, the positive impact of estimated TVRA on systematic risk of the SET suggests that TVRA might be an alternative sentiment index of SET.
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Aran Phringphred, (2019) Time-Varying Risk Aversion: A Dynamic Application in Index Hedging. Thammasat Review of Economic and Social Policy,5,62-102.
Aran Phringphred, "Time-Varying Risk Aversion: A Dynamic Application in Index Hedging". Thammasat Review of Economic and Social Policy 5 (2019):62-102.
Aran Phringphred, Time-Varying Risk Aversion: A Dynamic Application in Index Hedging. Thammasat University:ม.ป.ท. 2019.