基于最小下偏矩的动态期货跳跃套期保值策略  

Dynamic Jumping Hedging Strategy for Futures Based on Minimum Lower Partial Moments

作　　者：任光宇[1] 韩立岩[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程》2012年第11期117-121,共5页Systems Engineering

基　　金：国家自然科学基金重点资助项目(70831001);国家自然科学基金创新群体项目(70821061)

摘　　要：下偏矩作为风险的度量更适用于风险规避者。推导出考虑跳跃、对冲现货资产的最小下偏矩动态套期保值比率的估计量并构造套保策略。在实证中以中国沪深300指数为例运用股指期货构建套保组合,发现加入共跳因素后,无论对于多头还是空头套期保值者,对冲下偏风险的套保效率都有明显提升。Lower partial moments are more appropriate risk measures for risk averse investor. This paper deduces the dynamic minimum lower partial moments hedge ratio estimates which allows for jumps. Strategy is suggested correspondingly. In empirical application, applied to hedging CSI300 stock index, stock index futures are used to construct hedged portfolio. It is found that for either short or long hedgers, the effectiveness of hedging downside risk has been improved obviously after adding common jumps.

关 键 词：下偏矩 跳跃 EC—BEKK—ARJI模型 动态期货套期保值策略 

分 类 号：F830[经济管理—金融学]