摘要 :
The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures r...
展开
The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures returns to estimate the lower partial moments; the LPMs are then used to improve the estimation of optimal hedge ratio. The empirical results for hedging with Hangsheng index futures suggest that our estimation method could provide better hedging performance than the methods based on normal distribution, especially with the increase of investor's risk aversion.
收起
摘要 :
The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures r...
展开
The estimation of minimum LPM hedging ratio depends on the measure precision of the lower partial moments. This paper uses the Gram-Charlier expansion of non-normal distribution with skewness and fat-tail in the spot and futures returns to estimate the lower partial moments; the LPMs are then used to improve the estimation of optimal hedge ratio. The empirical results for hedging with Hangsheng index futures suggest that our estimation method could provide better hedging performance than the methods based on normal distribution, especially with the increase of investor's risk aversion.
收起
摘要 :
Aiming at the problem of safety accidents that often occur during the assembly process of the inner suspension pole power transmission tower due to the overload of the tower ropes, a sensor for monitoring the force of the inner su...
展开
Aiming at the problem of safety accidents that often occur during the assembly process of the inner suspension pole power transmission tower due to the overload of the tower ropes, a sensor for monitoring the force of the inner suspension pole group tower ropes is designed. According to the construction characteristics of the inner suspension pole group tower and the force characteristics of the rope, the foil strain gauge and the single-chip STC12LE5616AD are selected to complete the collection and processing of the force data of the tower rope, and the low-power ZigBee technology is used to complete the wireless data transmission. The software system adopts the low power consumption working mode of automatic sleep and timing wake-up to complete the polling transmission of multi-point acquisition data. Determine the shape and structure of the sensor according to the tower rope connection fittings, and use ANSYS simulation calculation to determine that the metal housing of the sensor is made of 42CrMO material.
收起
摘要 :
Aiming at the problem of safety accidents that often occur during the assembly process of the inner suspension pole power transmission tower due to the overload of the tower ropes, a sensor for monitoring the force of the inner su...
展开
Aiming at the problem of safety accidents that often occur during the assembly process of the inner suspension pole power transmission tower due to the overload of the tower ropes, a sensor for monitoring the force of the inner suspension pole group tower ropes is designed. According to the construction characteristics of the inner suspension pole group tower and the force characteristics of the rope, the foil strain gauge and the single-chip STC12LE5616AD are selected to complete the collection and processing of the force data of the tower rope, and the low-power ZigBee technology is used to complete the wireless data transmission. The software system adopts the low power consumption working mode of automatic sleep and timing wake-up to complete the polling transmission of multi-point acquisition data. Determine the shape and structure of the sensor according to the tower rope connection fittings, and use ANSYS simulation calculation to determine that the metal housing of the sensor is made of 42CrMO material.
收起
原文获取