基于长期投资视角的动态套期保值策略:以原油期货组合为例  

Dynamic hedging strategy based on long-term investment perspective:Crude oil futures portfolio for case analysis

作　　者：尹力博[1] 韩立岩[2] 

机构地区：[1]中央财经大学金融学院,北京100081 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程学报》2017年第2期218-232,共15页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71401193;71671193);中央财经大学121人才工程青年博士发展基金资助项目(QBJ1416)

摘　　要：将期货组合投资的风险中性修改为风险厌恶,提出基于长期投资者最优资产组合选择视角的最优动态套期保值模型,使得具有不同风险厌恶系数和不同跨期消费偏好的长期套保者在效用最大化的目标下实现现货和不同到期日期货合约的最优混合配置.该模型加入宏观经济综合信息,实现了短期套保和跨期套利的统一,具有长期投资和动态调整功能,以此形成双赢策略.以原油期货为例实证分析了该模型套期保值的效果和稳健性.主要套保绩效评价指标的实证结果都表明该模型所导出的具有长期投资视角和动态调整性质的双赢策略是简单易行而稳健有效的.This paper puts forward an optimal dynamic hedging strategy from the long-term optimal portfolios investment perspective, to achieve optimal allocation of spot goods and futures assets with different maturity dates under the utility maximization for hedgers with different risk aversions and consumer preferences. This model takes full consideration of the macroeconomic information, which could realize the integration of short- term hedging and inter-temporal arbitrage, as well as long-term investment and dynamic adjustment to form a win-win strategy. Taking crude oil futures portfolio as an example, an empirical analysis of the hedging effec- tiveness is given and robustness of the model is proved. Results based on main hedge performance evaluations show that the win-win strategy with long-term investment and dynamic adjustment characteristics is effective and robust.

关 键 词：动态套期保值 原油期货 最优套期保值比率 跨期模型 最优资产组合选择 

分 类 号：F830.9[经济管理—金融学]