基于CVaR的期货最优套期保值比率模型及应用  

Futures Optimal Hedge Ratio Model Based on CVaR and Its Application

作　　者：迟国泰[1] 赵光军[1] 杨中原[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《系统管理学报》2009年第1期27-33,共7页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70571010);中期协联合研究计划资助项目(GT200410;Z200505);大连市科技计划项目(2004C1ZC227)

摘　　要：通过条件风险价值(CVaR)控制套期保值资产组合在极端情况下发生的超额损失,建立了组合CVaR最小的套期保值优化决策模型。本模型的特色表现在:①现有研究的最小方差套期比及VaR套期比模型仅仅是本模型的1个特例:一是在期货的期望收益率为零时,或在期货和现货收益率完全相关时,本模型的最优套期比就是现有研究的最小方差套期比;在置信水平接近于100%的情况下,本模型的最优套期比趋近于最小方差套期比;二是在置信水平1-α下,当本模型的套期保值组合收益率小于标准正态分布的"α分位数"那一点的组合收益率的条件均值等于VaR套期比模型中特定的"β分位数"时,本模型就等于VaR套期比模型。②以期货套保组合收益率的CVaR为目标优化套期保值比。充分考虑了套保组合的尾部损失,综合了套期保值者期望收益率和风险偏好,改变了现有研究忽略套保者期望收益率和人为设定风险偏好参数现象,使期货合约的选择直接反映了套保者的风险承受能力。③模型反映了CVaR最优套期比由套保者投机需求和纯套保两部分组成,更深层次地探讨了套期保值比率的含义。By CVaR method, excess loss of hedged portfolio under extreme situation is controlled. A decision-making model of hedged portfolio optimization is set up with the minimum CVaR. The model has four contributions. Firstly, minimum variance hedge ratio, VaR hedge ratio are only examples of this model. We point out that CVaR hedge ratio in this model converges to the Minimum Variance hedge ratio under the futures zero-expected return, absolute correlation of spot return and futures return and the 100% predetermined level. When mean return of hedged portfolio under the situation of 1-α predetermined level and return lower than α-quantile of standard normal distribution are equal to certain β-quantile in the VaR hedge ratio, the model is the same as VaR hedge ratio. Secondly, using CVaR of futures hedged portfolio return as optimal function, considering tail loss of hedged portfolio and colligating the hedgers＇ expectation return and risk aversion, the model changes the expectation return and arbitrarily made risk aversion phenomenon that existing research ignored hedgers＇ parameter. The model made the selected futures reflecting risk tolerance ability of hedgers. Finally, we present that CVaR hedge ratio of this model is composed of reflecting the speculating component and pure hedging and shows deeper meaning of hedge ratio.

关 键 词：期货套期保值 套期保值比率 最优套期比 条件风险价值 

分 类 号：F830.9[经济管理—金融学] O224[理学—运筹学与控制论]