【作者】 蒋伟良；

【导师】 蒋岳祥；

【作者基本信息】 浙江大学 ， 项目管理， 2011， 硕士

【摘要】 从套期保值理论现有的研究成果来看,当前主流是从投资组合的角度来看待套期保值,要求在风险最小化或收益最大化的条件下,确定现货头寸与期货头寸的比例,因此套期保值比率的确定是研究的核心问题。针对在一定风险假定下,通过条件风险价值(CVaR)来控制套期保值资产组合在极端情况下发生的超额损失,一些研究建立了相应的静态最优套期保值比决策模型。本文采用基于套期保值组合收益率的CVaR为目标函数来建立动态的最优套期保值比模型,通过在一定的置信水平下对套期保值资产组合的尾部损失进行控制,并利用移动窗口法来实现最优套期保值头寸的动态决策。本文首先通过CVaR来控制套期保值资产组合在极端情况下发生的超额损失,建立组合收益率CVaR最小的套期保值模型,得到最优套期保值比。其次,通过GARCH模型来预测各资产及组合的方差和均值,将波动率聚集效应和时变方差效应考虑在预测过程中,从而解决套期保值比动态决策问题。最后,在实证部分分别以郑州商品交易所的白糖期货和香港期货交易所的恒生指数期货为样本数据进行检验。检验结果表明,与同类别的VaR法、Sharp法比较,在相近的单位风险收益条件下,本文研究方法在套期保值头寸规模与有效性方面具有较好的表现。更多还原

【Abstract】 From the existing research of hedging theory, most of them examine hedging from a portfolio standpoint. It is required to find the ratio between spot position and futures position under the minimal risk or maximal return, thus, how to determine hedge ratio is crucial.Under certain risk hypothesis, using CVaR to control the excess losses of hedged portfolio in extreme circumstances, some researches develop static optimal hedge ratio decision models. This article developed an optimal hedge ratio decision model based on the CVaR of hedged portfolio return as object, by controlling the tail loss of hedged portfolio under certain confidence level, and using moving window to achieving dynamic optimal hedge ratio.Firstly, CVaR was used to control the excess losses of hedged portfolio under extreme circumstances, to minimize CVaR of portfolio return and achieve optimal hedge ratio. Secondly, by using GARCH model to forecast portfolio variance and mean values, fluctuation ratio mass effect and time-varying variance effect were considered in the forecasting process; thereby the problem of dynamic hedging was solved. Lastly, in the empirical test part, sugar futures of Zhengzhou Commodity Exchange and HSI futures of Hong Kong Security Exchange were used as sample data. The result shows that, comparing VaR and Sharpe methods, this model has better performance in hedging position scope and effectiveness under certain risk-return conditions.更多还原