Title :
Notice of Retraction
The Research of Firm Optimal Hedging Based on the Technology of Basis Replication
Author :
Wang Baosen ; Zhao Chengzhen
Author_Institution :
Sch. of Economic, Beijing Wuzi Univ., Beijing, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
On the question of optimal hedging ratio, the paper firstly draws the chance to choose market-entering point into the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedging ratio of the model, which gives the theoretical support to the practice. The conclusion is obtained that we should not only concern on the market-entering point, but also the period of the hedge still influence the effect of hedging. But only the period of hedging gives its affection if the time relatively long.
Keywords :
finance; risk management; basis replication; finance engineering; firm optimal hedging ratio; market-entering point; Computer science; Computer science education; Contracts; Educational technology; Finance; Measurement standards; Paper technology; Petroleum; Portfolios; Reactive power; hedging ratio; market-entering point; replication principle;
Conference_Titel :
Education Technology and Computer Science (ETCS), 2010 Second International Workshop on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6388-6
DOI :
10.1109/ETCS.2010.594
