基于0-1混合整数规划及Cornish-Fisher-CVaR方法的ETF基金最优动态套期保值比率模型  

ETF Fund Optimal Dynamic Hedge Ratio Model Based on 0-1 Mixed Integer Programming and Cornish-Fisher-CVaR Method

作　　者：王良[1] 惠朦朦 许庭嘉 WANG Liang;HUI Meng-meng;XU Ting-jia(School of Economics and Finance,Xi'an University of Technology,Xi'an 710048,China)

机构地区：[1]西安理工大学经济与管理学院,陕西西安710048

出　　处：《系统工程》2018年第8期1-17,共17页Systems Engineering

基　　金：国家自然科学基金资助项目(71171155);陕西省教育厅科学研究计划项目(18JK0535);西安理工大学校研究生改革项目1项(310/252041828)

摘　　要：鉴于ETF基金的独特避险功能及Cornish-Fisher方法测度风险的简便性与稳健性,本文以ETF基金组合作为现货资产与股指期货进行套期保值,并用Cornish-Fisher方法进行风险估计;同时以CVaR最小作为目标函数,建立基于0-1混合整数规划的ETF基金最优动态套期保值比率模型并以遗传算法进行求解。在对Cornish-Fisher方法进行有效性验证的基础上,实证研究发现,置信水平固定且以CVaR(VaR)最小作为目标函数时,保证金比率增加则ETF基金动态套期保值比率整体上降低但CVaR(VaR)减小,且CVaR(VaR)对保证金比率的变化要比套期保值比率对保证金比率的变化敏感的多。虽然本文采用优化方法求得的不是精确解,但实证结果证明了本文所构建Cornish-Fisher-CVaR方法的有效性,同时也表明了CVaR方法较VaR方法在风险估计方面更为保守。Given the unique hedging function of ETF fund and the simplicity and robustness of Cornish-Fisher method in the measurement of risk,this paper uses ETF fund portfolio as spot assets to do hedging with stock index futures,while the Cornish-Fisher method do risk estimation.Since the exact solution can’t be obtained by analytic method,we establish the optimal dynamic hedging ratio model of ETF fund,based on 0-1 mixed integer programming,solving with genetic algorithm,using the minimal CVaR as objective function.Based on the validity of the Cornish-Fisher method,the empirical study shows that when confidence level is fixed,the dynamic hedging ratio of ETF fund reduces overall but CVaR(VaR)decreases as margin ratio increases,with the minimal CVaR(VaR)being target function,and CVaR(VaR)is more sensitive to the change of margin ratio than hedge ratio.The margin ratio fixed,the minimal CVaR(VaR)as target function,the research finds that the effect of confidence level on CVaR(VaR)is highly significant while that on hedging ratio is not significant.Although this paper obtains the optimal solution rather than the exact solution by optimal method,empirical study finds that when the minimum CVaR and VaR are objective functions,the CVaR obtained by optimal method at any time is higher than VaR,with confidence level and margin ratio unchanged,which demonstrates the validity of Cornish-Fisher-CVaR method built in this paper.It also shows that the CVaR method is more conservative than VaR method in risk estimation.

关 键 词：混合整数规划 CVAR 套期保值 保证金比率 

分 类 号：F830[经济管理—金融学]