本文選題：最優(yōu)對(duì)沖比率 + 下偏矩模型��； 參考：《系統(tǒng)工程》2015年11期

【摘要】：利用滬深300指數(shù)及期貨的日交易數(shù)據(jù),探討下偏矩模型下的空頭期貨最優(yōu)對(duì)沖比率,及樣本內(nèi)外的對(duì)沖績效和組合收益率。結(jié)論顯示,風(fēng)險(xiǎn)參數(shù)和目標(biāo)收益率在形成下偏矩模型的對(duì)沖策略上,存在顯著影響。其中,下偏矩最優(yōu)對(duì)沖比率是目標(biāo)收益率的增函數(shù),是風(fēng)險(xiǎn)參數(shù)的減函數(shù);在較高的風(fēng)險(xiǎn)厭惡程度、特別是較低的目標(biāo)回報(bào)率條件下,下偏矩模型樣本內(nèi)外的對(duì)沖績效都有良好表現(xiàn)。從而,下偏矩模型更加適合高風(fēng)險(xiǎn)厭惡或者低目標(biāo)回報(bào)的對(duì)沖者,但以對(duì)沖組合收益率的下降為代價(jià)。
[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.
【作者單位】： 南京師范大學(xué)商學(xué)院;
【基金】：國家自然科學(xué)基金資助項(xiàng)目(71472091;71172041) 江蘇省高校實(shí)驗(yàn)室研究會(huì)2012年度立項(xiàng)研究課題(20120111) 教育部人文社科項(xiàng)目(14YJC790140)
【分類號(hào)】：F724.5
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本文編號(hào)：1905428