基于风险分解的股指期货套期保值策略研究

中国管理科学 ›› 2013, Vol. ›› Issue (2): 17-23.

基于风险分解的股指期货套期保值策略研究

周仁才

东方证券股份有限公司, 上海 200010

收稿日期:2011-12-15 修回日期:2012-07-13 出版日期:2013-04-30 发布日期:2013-04-25

The Stock Index Futures Hedging Strategy Based on the Risk Decomposition

ZHOU Ren-cai

Orient Securities Company Limited, Shanghai 200010, China

Received:2011-12-15 Revised:2012-07-13 Online:2013-04-30 Published:2013-04-25

摘要/Abstract

摘要： 本文构建了基于方差分解的股指期货套期保值模型,并求解了相应的最优套期保值比率。将总体风险分解为系统风险与非系统风险,根据套保目标,通过在两类风险之间分配不同的权重可以提高组合整体表现。研究表明,方差分解套期保值模型更能有效地反映投资者对于风险类别的不同偏好,克服了H-D模型及MV模型的不足,具有良好的概括能力且更有利于套保目标的实现。

关键词: 股指期货, 套期保值策略, 风险分解, 收益-方差效用

Abstract: Through decomposing the total risk into the system risk and nonsystematic risk, a new stock index futures hedge model is proposed and the best hedge ratio is resolved. According to the hedge purpose, endowing the two types of risk with different weights can improve the portfolio performance. The result shows that the stock index futures strategy based on the risk decomposition have three advantages. Firstly, the model can effectively reflect investors’ preference to different risk types. Secondly, the model has a good summary ability. The MV model, H-D model and HKL model are all its special forms. Thirdly, by risk-decomposing and parameter-controlling, the model can track the market risk factor more effectively, and then help investors more easily realize their individual investment strategy, such as the alpha strategy.

Key words: stock index futures, hedging strategy, risk decomposition, return-variance utility

中图分类号:

F830.91

周仁才. 基于风险分解的股指期货套期保值策略研究[J]. 中国管理科学, 2013, (2): 17-23.

ZHOU Ren-cai. The Stock Index Futures Hedging Strategy Based on the Risk Decomposition[J]. Chinese Journal of Management Science, 2013, (2): 17-23.

参考文献

[1] Markowitz H. Portfolio selection[J]. The Journal of Finance, 1952, 7(1): 77-91.
[2] Johnson L L. The theory of hedging and speculation in commodity futures[J]. Review of Economic Studies, 1960, 27(3):139-151.
[3] Ederington L H. The hedging performance of the new futures markets [J]. The Journal of Finance, 1979, 34(1): 157-170.
[4] Cheung S, Kwan C, Yip P. The hedging effectiveness of options and futures: a Mean-Gini approach[J]. The Journal of Futures Markets, 1990, 10(1): 61-73.
[5] Kolb R W, Okunev J. An empirical evaluation of the extended Mean-Gini coefficient for futures hedging[J]. The Journal of Futures Markets, 1992, 12(2):177-186.
[6] Jong A D, Roon F D, Veld C. Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies [J]. The Journal of Futures Markets, 1997, 17(7):817-837.
[7] Lien D, Tse Y K. Hedging time-varying downside risk[J]. The Journal of Futures Markets, 1998, 18(6): 705-722.
[8] Harris R D F, Shen J.Hedging and value at risk [J]. The Journal of Futures Markets, 2006, 26(4):369-390.
[9] 柴尚蕾,郭崇慧, 基于Mean-CVaR约束的股指期货动态套期保值模型研究[J]. 管理工程学报, 2012, 26(2):141-147.
[10] Howard C T, D'Antonio L J. A risk-return measure of hedging effectiveness[J]. Journal of Financial and Quantitative Analysis, 1984, 19(1):101-112.
[11] Hsin C W, Kuo J, Lee C F. A new measure to compare the hedging effectiveness of foreign currency futures versus options [J]. Journal of Futures Markets, 1994, 14(6): 685-707.
[12] Kolb R W, Okunev J. Utility maximizing hedge ratios in the extended Mean-Gini framework [J]. The Journal of Futures Markets, 1993, 13(6): 597-609.
[13] Chen S, Lee C, Shrestha K. On a Mean-Generalized semivariance approach to determining the hedge ratio[J]. The Journal of Futures Markets, 2001, 21(6):581-598.
[14] Lien D. Optimal futures hedging: quadratic versus exponential utility functions [J]. The Journal of Futures Markets, 2008, 28(2):208-211.
[15] 傅俊辉,张卫国,陆倩,等.考虑偏度风险和峰度风险的非线性期货套期保值模型[J]. 系统工程, 2009, 27(10): 44-48.
[16] 迟国泰,余方平,王玉刚.基于动态规划多期期货套期保值优化模型研究[J]. 中国管理科学, 2010, 18(3):17-24.
[17] Chang J S, Shanker L. A risk-return measure of hedging effectiveness: a comment [J]. Journal of Financial and Quantitative Analysis, 1987, 22(3):373-376.