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

发布时间：2018-02-06 04:47

本文关键词： 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　出处：《系统工程学报》2017年02期 　论文类型：期刊论文

【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.
[Abstract]:The risk-neutral of futures portfolio is changed to risk aversion, and an optimal dynamic hedging model based on the perspective of long-term investors' optimal portfolio selection is proposed. In this paper, the optimal mix of spot and maturity futures contracts with different risk aversion coefficients and inter-period consumption preferences is realized under the goal of maximizing utility. The model is integrated with macroeconomic synthesis. Information. It realizes the unification of short-term arbitrage and intertemporal arbitrage, and has the function of long-term investment and dynamic adjustment. Taking crude oil futures as an example, this paper analyzes the effectiveness and robustness of the model. The empirical results of the main hedging performance evaluation indicators show that the model has a long-term investment perspective. The double-win strategy of dynamic adjustment is simple and effective.
【作者单位】：中央财经大学金融学院;北京航空航天大学经济管理学院;
【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)
【分类号】：F224;F426.22;F724.5

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