风险厌恶在股指期货避险中的应用研究  

Application of Risk Aversion to Stock Index Futures Hedging

作　　者：李云红[1,2] 魏宇[1] 陈王[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]重庆文理学院数学与财经学院,重庆402160

出　　处：《管理工程学报》2014年第4期173-179,共7页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71071131;71271227;71371157);高等学校博士学科点专项科研基金资助项目(20120184110020);教育部人文社科基金资助项目(14YJC790073)

摘　　要：沪深300股指期货的推出,不仅提供了一种新的投资产品,更为投资者提供了一种新的避险工具。如何选择最佳的避险比率成为投资者不得不考虑的首要问题。此外,投资者对风险的态度也是避险决策中需要考虑的重要因素。文章采用GARCH-M模型估计市场参与者的风险厌恶系数(RRA),在此基础上运用OLS和VARMVGARCH模型计算沪深300股指期货的效用最大化避险比率,并与常规风险最小化准则下的避险比率进行对比分析。结果表明,考虑RRA的效用最大化避险比率高于风险最小化的避险比率。并且,除了时变样本外预测,无论是静态避险比率,还是时变避险比率,引入RRA的避险策略表现均优于风险最小化标准下的避险策略。Stock Index Futures （SIF） as one means of capital futures is mainly used as an investment tool for risk management and arbitrage.It was launched by Kansas Contract Board of Trade （KCBT） in 1982.Chinese investors are facing a perplexing and risky environment.The launch of CSI 300 stock index futures in China provides the majority of investors with new investment products and hedging tools.Therefore,participant＇s risk attitude determines the optimal hedge ratio and helps formulate a reasonable investment strategy,which is important for investors to avoid market risks,play stock index futures hedging function and maximize the efficiency of investment.The paper mainly consists of five parts：（1） literature review on hedging; （2） sample data and statistical analysis; （3）measurement and estimation models of risk aversion coefficient and hedge ratio,as well as dynamic estimation methods ; （4） empirical results of China＇s stock index futures ; and （5） main conclusions.The paper mainly studies hedging problems under utility maximization standards.Previous studies have focused on risk minimization.With some analysis on minimum risk and maximum utility hedging,as well as profit psychological analysis in behavior finance,we find that investors gamble between risk and return.Most investors not only pursue the minimization of market volatility,but also aim to obtain a reasonable income with a risk as low as possible.Therefore,studying hedging under utility maximization standards has practical value.Based on this,this article uses the GARCH-M model to calculate the coefficient of risk aversion,which stands for the risk attitude of market participants,estimates the optimal hedge ratio of CSI 300 index futures in the utility maximization criterion,and compare it with the minimum risk hedging ratio.Meanwhile,we take both static hedge ratio and varying hedge ratio into consideration,and they are estimated by traditional OLS model and VAR-MVGARCH model respectively.The results indicate that the hedge

关 键 词：风险厌恶 效用最大化 避险比率 VAR-MVGARCH模型 

分 类 号：F830[经济管理—金融学]