系统性尾部贝塔与市场崩盘风险的对冲:基于崩盘风险的“安全第一准则”投资组合均衡模型  

Systematic tail beta and hedge of the market crash risk:based on a"safety-first"portfolio selection equilibrium model with the crash risk

作　　者：凌爱凡[1] 朱佳磊 唐乐 蒋崇辉 LING Aifan;ZHU Jialei;TANG Le;JIANG Chonghui(School of Finance,Jiangxi University of Finance and Economics,Nanchang 330013,Jiangxi,China;International School,Jiangxi University of Finance and Economics,Nanchang 330013,Jiangxi,China)

机构地区：[1]江西财经大学金融学院,江西南昌330013 [2]江西财经大学国际学院,江西南昌330013

出　　处：《运筹学学报》2022年第4期43-63,共21页Operations Research Transactions

基　　金：国家自然科学基金(Nos.71771107,72071098);国家社会科学基金重大项目(No.21ZDA045);江西省双千计划(No.2019201130)。

摘　　要：近年来随着市场震荡多变,我国A股市场频繁出现千股跌停的现象。如何在市场发生崩盘风险的情形下,预测风险资产的尾部风险,并有效对冲市场崩盘风险等问题引起了广泛的关注。为了回答这些问题,论文在传统“安全第一准则”投资组合模型中引入了市场发生崩盘风险的约束条件,在均衡情形下获得了具有市场崩盘风险的资产定价模型(Crash CAPM:CCAPM),利用CCAPM中风险负载与传统的市场贝塔,论文构建了一个新的系统性尾部风险度量指标β~Δ。利用1995—2018年期间我国A股市场日收益率数据进行实证检验发现,β~Δ能够有效地捕捉到市场崩盘与繁荣时期,资产与市场的尾部关联性。特别地,在市场崩盘时期,β△与风险资产极端损失风险呈显著的正相关关系,高β~Δ组合与低β~Δ组合之差构建的投资组合,在市场崩盘时期,能够获得显著为正的尾部超额收益率,这为对冲市场崩盘提供了重要的依据。Recently,thousands of shares fell on the same trading date frequently happens in China’s A-share market.How to measure and predict the disaster risk when the market crashes are paid to the close attentions.To answer these problems,we establish the"safety-first"portfolio selection model with the market crash risk constraint,and get a crash capital asset pricing model(CCAPM)under the equilibrium condition.Combining the market beta,we construct a new systematic disaster risk measure,systematic tail beta,β,and study its estimation approach.The empirical results using the daily returns of A-share market between 1995 and 2018 show that theβcan effectively capture the tail comovement of the risk asset and the market during the market crash and boom.Especially,βhas a significant positive impact on the tail returns of risk assets during the market crash.The H-L portfolios composed of the difference between High and Lowβportfolios can obtain the significantly and positively average tail returns when the market crash occurs.These empirical results provide the important foundation to effectively hedge the market crash risk.

关 键 词：市场崩盘风险 系统性尾部贝塔 崩盘-CAPM 安全第一准则 詹森-α 

分 类 号：O221.2[理学—运筹学与控制论]