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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。
Using the daily trading data of the CSI 300 Index and Futures, the optimal hedging ratio of short futures under the PMO model and the hedging performance and portfolio yield both inside and outside the sample are discussed. The conclusion shows that the risk parameters and the target rate of return have a significant impact on the hedging strategy of forming the lower-moment model. The lower hedging optimal hedge ratio is an increasing function of the target rate of return and is a decreasing function of the risk parameter. Under the condition of high risk aversion, especially the lower target rate of return, Hedge performance is good. Thus, the lower-moment model is more suitable for hedgers with higher risk aversion or lower target returns, but at the expense of lower hedging yields.