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研究带资金约束条件、以投资末期风险最小为目标函数的动态套期保值问题,利用嵌套辅助模型把不可分的多阶段均值-方差套保模型转换为一个能用动态规划处理的可分问题,从而推导出各阶段投资的最优套头比、套保有效性及套保组合有效前沿的解析表达式。最后通过实证分析发现:与传统方法相比,本文提出的方法能有效提高组合的套保有效性,尤其是当两种资产收益率相关性下降时。
This paper studies the dynamic hedging problem with the capital constraint and the minimum investment risk as the objective function. The nested auxiliary model is used to transform the indivisible multi-stage mean-variance hedging model into a separable problem that can be dealt with by dynamic programming. Thus, the optimal hedging ratio, the hedging effectiveness and the analytic expression of the effective frontier of the hedging portfolio are deduced. Finally, through empirical analysis, we find that compared with the traditional method, the proposed method can effectively improve the effectiveness of the hedging portfolio, especially when the correlation between the two asset returns is declining.