基于下偏矩风险欧盟碳期货动态套期保值研究  

Dynamic Hedging Considering Risk Aversion and Target Return Rate

作　　者：贺晓波[1] 张静[1] 曾诗鸿[1] 

机构地区：[1]北京工业大学经济与管理学院,北京100124

出　　处：《经济问题》2015年第11期79-82,共4页On Economic Problems

基　　金：国家自然科学基金项目"碳排放权市场特性;定价机理与政策模拟设计研究"(71473010)

摘　　要：首先分析了利用碳期货进行套期保值的必要性和重要性,然后通过下偏矩方法求解使得套保组合风险最小化的最优套期保值比率。结果显示,基于Copula方法最优套保比的下偏矩风险小于未利用期货进行套期保值的下偏矩风险,且小于基于非参数方法和正态假设法最优套保比的下偏矩风险;另外,风险厌恶系数越大,目标收益率越高,下偏矩风险越大。研究结果为企业更好地进行套期保值提出了相关政策建议。First, this paper analyzes that using carbon futures to hedge is very necessary and important, then it gets the optimal hedge ratio to make hedging portfolio risk minimization through lower partial moment method. Re- sult shows that Lower partial moment risk based Copula method is less than the case without using futures hedging and is less than based non - parametric method and normal hypothesis method. In addition, the risk aversion coeffi- cient is greater and target rate of return is higher, lower partial moment risk is bigger, which indicates that inves- tors＇ the expected return value is higher, the risk is bigger. In addition, the paper also gives the relevant policy suggestions to help the enterprise hedge.

关 键 词：EUA期货 下偏矩 最优套保比 

分 类 号：F830.9[经济管理—金融学]