风险管理——对冲策略理论与应用

Preface 前言 PART I THEORETICAL BACKGROUND Chapter 1.Basics of Hedging 1.1 No hedge 1.2 Naïve hedge 1.3 Hedging Strategies 1.4 Hedge Ratio 1.4.1 Rolling Window OLS 1.4.2 GARCH Models 1.4.3 Volatility Model-based Minimum Variance Hedge Ratio 1.5 Hedge Fund Strategy Chapter 2 Concepts of Asset Hedge Chapter 3 Portfolio Hedge PART II METHODOLOGY – APPLICATION BACKGROUND Chapter 4 Hedging with Futures Chapter 5 Portfolio Variance Minimization Chapter 6 Factor-Neutral Approaches Chapter 7 Beta Hedging Chapter 8 Value at Risk Minimization Chapter 9 Hedging Portfolio Problem Based on CVaR Chapter 10 Hedging Strategy of Shortfall Minimization Chapter 11 Verification: Re-evaluation Hedging Strategy Performance 11.1 Hedging Effectiveness - Variance 11.2 Hedging Effectiveness – Semi Variance 11.3 Hedging Effectiveness – LPM 11.4 Hedging Effectiveness - VaR 11.5 Hedging Effectiveness - CVaR CONCLUSION AND OUTLOOK References Denotations, Symbols, and Abbreviations List of Table List of Figures