无漂移算术布朗运动下股指期货套期保值连续出清策略  

Continuous Optimal Liquidation of the Single Hedged Stock under Arithmetic Brownian Movements without Drift

作　　者：唐衍伟[1] 陈刚[1] 刘喜华[1] 

机构地区：[1]青岛大学经济学院,山东青岛266071

出　　处：《中国管理科学》2014年第2期10-15,共6页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70971071)

摘　　要：假定股票和期货服从无漂移项的算术布朗运动,投资者效用为均值-方差形式,价格冲击为线性,在连续时间框架下,求解单只股票与股指期货套期保值同步出清问题,得到出清轨迹。参数分析表明:当风险厌恶程度较大时、组合标准差越大,投资者倾向于在出清初期出清较大规模的头寸,以降低后期的风险;当ρ<0,随套期保值比的增加,投资者更倾向于快速的出清过程,当ρ>0则相反;在给定套期保值比的情况下,出清速率与相关系数呈反向变化。A hedging strategy without considering transaction cost is uncompleted which would bring risk to the portfolio. Considering the investor has mean-variance utili rithmetic Brownian movements without drift and market impact is Y li the stock and index futures is the a- near, the continuous liquidation trajec- tory of the single hedged stock is derived under given time span. The parameters analysis shows that the investors are likely to trade quickly if they are more risk aversion or the portfolio＇s variance is larger~ if the correlation coefficient is negative, they want to execute more quickly and vice versa~ the liquidation ve- locity changes opposite to the correlation coefficient under the given hedging ratio.

关 键 词：股指期货 套期保值 出清策略 

分 类 号：F830.9[经济管理—金融学]