关键词: 风险对冲, 期望效用, 风险态度, 在险价值, 条件在险价值

Abstract: There are two distinct research frameworks for hedging issues all the time: risk-minimizing models and utility-maximizing models. Risk-minimizing models implicitly assume that people are fully risk averters who only are concerned about the risk and do not care about returns, while utility-maximizing models are constructed to maximize utility functions which include return-risk tradeoff and have to give a weighing parameter for the return and risk usually. There exist certain disadvantages in the two kinds of models above. The former models' shortage is that they doesn't consider the people's subjective risk attitudes (or implying complete risk aversion). The latter models' shortage is that there is not scientific standard to determine the weighing parameter and the utility function setting is very subjective. In addition, the traditional literatures only define risk reducing ratio as the risk hedging efficiency index, but different risk measure indices often induce inconsistent or even contradictory results. Therefore a hedging efficiency index which is independent of risk measure indices is needed. Method: To repair the shortcomings above and absorb the advantages of the two kind of models respectively, firstly hedging strategies based on risk-minimizing models are gotten, then the expected utility theory is applied to compare the hedging efficiency of hedging strategies, so that individual's risk attitude can be linked to hedging strategy choice. The difference with the traditional risk-minimizing model is that we the risk reducing ratio isn't used as hedging efficiency index, while compared with the traditional utility-maximizing model, our method doesn't need to accurately set the weighing parameter. Data:Two cases are designed to test the theorem above. The data of case 1 is generated by simulation method. In case 2, the historical data of CSI 300 stock index and its futures is applied. The data window ranges from May 2010 to September 2014, a total of 53 monthly historical data. The CSI 300 index futures officially are listed on April 16, 2010, because of the very bigger noise at the listed beginning and less than a month trading time in the first month, so the data in April 2010 is removed.Results: Using the risk neutral, quadratic and CARA utility functions, it's strictly proved that the minimum variance hedging strategy is too conservative, and minimum VaR hedging strategy is the most radical. The investors with bigger degree of risk aversion prefer minimum variance hedging strategy, while the investors with risk neutrality or smaller degree of risk aversion prefer minimum VaR strategy. The minimum CVaR hedging strategy is not conservative or radical but moderate.Future research: This paper aims to provide a research framework which studies hedging efficiency under expected utility theory, the research framework has good applicability, openness and can be easily applied to hedging efficiency problem of other derivatives or other risk measure indices. So a new research perspective for other scholar's related research is provided in this paper.

Key words: risk hedging, expected utility, risk attitude, value-at-risk, conditional value-at-risk