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采用参数和非参数分布法来刻画边缘分布特征,结合Copula技术来描述期现市场间的相关性,以CVaR最小化为目标函数,建立基于静态和动态Copula-CVaR的最优套保比率度量模型。以沪深300指数现货和期货为研究对象,建立静态和动态Copula-CVaR模型及OLS模型,在给定套保期限内,分析了各模型的套保费用,并给出了修正成本套保效率的比较分析。结果表明,考虑套保费用时,应选择简单易行的静态套保策略,即使市场条件相同,也应据自身的费用情况选择最优套保策略。
The parameters of distribution and nonparametric distribution are used to characterize the edge distribution. The Copula technique is used to describe the correlation between the existing markets. The optimal VaR ratio measurement model based on static and dynamic Copula-CVaR is established based on CVaR minimization . Taking the spot and futures of the Shanghai-Shenzhen 300 Index as the research object, the static and dynamic Copula-CVaR models and OLS models are established. During a given hedging period, the hedging costs of each model are analyzed and the hedging efficiency of the revised cost is given. Comparative analysis. The results show that when considering the hedging cost, a simple and easy static hedging strategy should be chosen. Even if the market conditions are the same, the optimal hedging strategy should be chosen according to the cost situation.