基于LPM的多尺度最优套期保值比率  

The Multi-scale Hedge Ratios Based on LPM

作　　者：孙艳[1] 何建敏[1] 

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《系统工程》2012年第6期53-58,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(71071034);教育部人文社会科学研究青年基金资助项目(12YJC630101)

摘　　要：首先使用小波方法将指数收益和期指收益分解到不同时间尺度上,并使用核密度方法估计指数和期指的联合密度函数,然后基于最小下偏矩框架得到多尺度最优套期保值比率。它既可以满足不同投资者基于不同期望收益目标的下方风险管理的需要,也可以满足不同投资期限的需要。最后,使用香港恒生指数以及香港恒生指数期货数据进行实证分析,结果表明:随着时间尺度的增加,最优套期保值比率以递减的速度增加,且套期保值效率一直递增,直至接近于1。另外,最优套期保值比率在大多数情形下随着期望目标的增加而递减,风险厌恶程度对最优套期保值比率的影响并不确定。This paper firstly decomposes the return series of the spot and futures using wavelet analysis and estimates the joint density distribution with kernel density estimation, then gets the optimal hedge ratios of the multi-scales based on the minimization of the lower partial moments, which can satisfy the needs of the down risk management by different investors with different expected return targets as well as the needs of different horizon. Finally, we use the data of HS index and HS index futures to make an empirical study. The empirical results indicate that the optimal hedge ratios increase in decreasing rate as the hedging horizons increase, while the hedging effectiveness increases until close to 1, and that the optimal hedge ratios decrease with the increase of the expected return objectives in most cases, but the effect of the degree of the risk aversion to the optimal hedge ratio is uncertain.

关 键 词：下偏矩 小波分解 核密度估计 套期保值比率 

分 类 号：F830[经济管理—金融学]