基于下偏矩的期货对冲模型及实证研究

发布时间：2018-05-18 10:09

  本文选题：最优对冲比率 + 下偏矩模型　； 参考：《系统工程》2015年11期

【摘要】：利用沪深300指数及期货的日交易数据,探讨下偏矩模型下的空头期货最优对冲比率,及样本内外的对冲绩效和组合收益率。结论显示,风险参数和目标收益率在形成下偏矩模型的对冲策略上,存在显著影响。其中,下偏矩最优对冲比率是目标收益率的增函数,是风险参数的减函数;在较高的风险厌恶程度、特别是较低的目标回报率条件下,下偏矩模型样本内外的对冲绩效都有良好表现。从而,下偏矩模型更加适合高风险厌恶或者低目标回报的对冲者,但以对冲组合收益率的下降为代价。
[Abstract]:Based on the daily trading data of Shanghai and Shenzhen 300 index and futures, this paper discusses the optimal hedge ratio of short futures under the lower moment model, and the hedge performance and portfolio return rate inside and outside the sample. The conclusion shows that the risk parameters and the target rate of return have significant influence on the hedging strategy of the lower moment model. Among them, the optimal hedging ratio of the lower skew moment is the increasing function of the target rate of return and the decreasing function of the risk parameter, and under the condition of higher risk aversion, especially the lower target rate of return, The hedging performance of the lower moment model is good both inside and outside the sample. Therefore, the lower moment model is more suitable for the hedgers with high risk aversion or low target return, but at the cost of the lower return of hedge portfolio.
【作者单位】： 南京师范大学商学院;
【基金】：国家自然科学基金资助项目(71472091;71172041) 江苏省高校实验室研究会2012年度立项研究课题(20120111) 教育部人文社科项目(14YJC790140)
【分类号】：F724.5
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本文编号：1905428