本文關(guān)鍵詞：多品種股指期貨組合套期保值模型研究及實(shí)證分析　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 多品種期指套期保值 最優(yōu)套期保值比率 套期保值效率 最優(yōu)權(quán)重 最大持倉(cāng)量

【摘要】：2015年6月12日的股災(zāi)到現(xiàn)在為止還令人記憶猶新,千股跌停的情景給剛開始發(fā)展的我國(guó)金融衍生品市場(chǎng)帶來(lái)了重大災(zāi)難。現(xiàn)如今市場(chǎng)風(fēng)險(xiǎn)的不確定性使得投資者對(duì)于投資組合風(fēng)險(xiǎn)規(guī)避有著巨大的需求。目前股指期貨的風(fēng)險(xiǎn)規(guī)避功能正在被越來(lái)越多的人所關(guān)注,其實(shí)現(xiàn)的主要手段就是套期保值策略,而多品種的股指期貨保值策略則可以更加有效的規(guī)避風(fēng)險(xiǎn)。本文在閱讀大量相關(guān)文獻(xiàn)的基礎(chǔ)上,從現(xiàn)貨投資組合作為切入點(diǎn),首先通過(guò)非線性最優(yōu)化的方法得到使得套期保值比率最高的最優(yōu)現(xiàn)貨投資組合個(gè)股權(quán)重。然后確定最優(yōu)套期保值比率,將靜態(tài)套期保值比率窗口動(dòng)態(tài)化,并與動(dòng)態(tài)套期保值比率的計(jì)算結(jié)果進(jìn)行對(duì)比,通過(guò)比較HE指標(biāo)(收益率方差下降百分比)找到了最佳套期保值比率模型。之后根據(jù)套期保值模型的基本理論,最優(yōu)套期保值比率模型,以及多品種股指期貨套期保值模型的理論分析,以任意的投資組合為標(biāo)的,以套期保值效率最高為目標(biāo),將非線性最優(yōu)化方法應(yīng)用到套期保值策略中,按照完整的實(shí)際套期保值業(yè)務(wù)鏈條來(lái)進(jìn)行了實(shí)證研究,計(jì)算出了最優(yōu)現(xiàn)貨組合權(quán)重、按照建倉(cāng)日最大持倉(cāng)量約束來(lái)計(jì)算最大投入金額及持倉(cāng)明細(xì)以及混合套期保值中三種股指期貨合約的比例。本文研究結(jié)論表明:在實(shí)證分析中OLS模型和多元GARCH模型計(jì)算出的套期保值比率效果較好。利用上證50、滬深300、中證500三種股指期貨對(duì)現(xiàn)貨組合進(jìn)行混合套期保值的套保效率要明顯高于用上證50、滬深300、中證500三種股指期貨對(duì)現(xiàn)貨組合進(jìn)行單一套期保值的套保效率。
[Abstract]:The stock market crash of June 12, 2015 so far is also very fresh, 1000 shares limit situation to the beginning of development of China's financial derivatives market has brought great disaster. At present, the uncertainty of market risk makes investors have great demand for risk aversion of portfolio. At present, the risk aversion function of stock index futures is being noticed by more and more people. The main way to achieve this strategy is hedging strategy, while a variety of stock index futures hedging strategy can more effectively avoid risks. On the basis of reading a lot of related literature, starting from spot portfolio, we first get the optimal weight of the spot portfolio with the highest hedging ratio through nonlinear optimization. Then the optimal hedge ratio is determined, and the static hedging ratio window is dynamically updated, and it is compared with the calculation results of dynamic hedging ratio. By comparing the HE index (yield variance variance percentage), we find the best hedge ratio model. According to the basic theory of hedging model, optimal hedge ratio model, and a variety of stock index futures hedging model with arbitrary portfolio for the subject, aim for the highest efficiency of hedging, the nonlinear optimization method is applied to the hedging strategy, according to the actual hedging business chain for the empirical research, calculates the optimal combination weights, according to the positions on the spot maximum positions constraint to calculate the maximum investment amount and position details as well as the three stock index futures contracts mixed hedging ratio. The conclusion of this paper shows that the effect of hedging ratio calculated by OLS model and multiple GARCH model is better in the empirical analysis. Using Shanghai Stock Exchange 50, Shanghai and Shenzhen 300, China 500, three kinds of stock index futures, the hedging efficiency of spot hedging on spot portfolio is significantly higher than that of Shanghai Stock Exchange 50, Shanghai and Shenzhen 300, and central 500 500 index futures.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F724.5

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本文編號(hào)：1341321