人民币外汇期权套保策略:基于随机规划模型
发布时间：2018-07-20 13:12
【摘要】：本文建立了基于离散情景树的国际资产配置多阶段随机规划模型,形成了包含整体风险控制和后验优化风险再调整的外汇期权组合风险综合管理机制;在此基础上系统研究了人民币外汇期权的套保价值及最优套保策略,并与外汇远期的套保效果进行了比较.实证研究表明,根据本文模型确定的最优策略,人民币外汇期权组合对冲汇率风险的效果显著优于外汇远期,能够有效降低财富损失并提升盈利空间;通过综合管理外汇期权组合风险头寸,套保组合在不确定环境中的风险应对能力得到显著改善,由此实现盈利能力和风险控制的有效匹配.
[Abstract]:In this paper, a multi-stage stochastic programming model of international asset allocation based on discrete scenario tree is established, which forms a comprehensive risk management mechanism of foreign exchange options portfolio including global risk control and posteriori optimal risk readjustment. On this basis, the paper systematically studies the hedging value and optimal hedging strategy of RMB foreign exchange options, and compares the effect of hedging with foreign exchange forward. The empirical study shows that, according to the optimal strategy determined by this model, the effectiveness of RMB foreign exchange option portfolio to hedge exchange rate risk is significantly better than that of foreign exchange forward, which can effectively reduce the loss of wealth and enhance profit space. By comprehensively managing the risk position of foreign exchange options portfolio, the risk coping ability of hedging portfolio in uncertain environment is improved significantly, and the effective matching between profitability and risk control is realized.
【作者单位】： 北京航空航天大学经济管理学院;
【基金】：国家自然科学基金重点资助项目(70831001) 国家自然科学基金创新研究群体科学基金资助项目(70821061)
【分类号】：F224;F832.6
本文编号：2133634
[Abstract]:In this paper, a multi-stage stochastic programming model of international asset allocation based on discrete scenario tree is established, which forms a comprehensive risk management mechanism of foreign exchange options portfolio including global risk control and posteriori optimal risk readjustment. On this basis, the paper systematically studies the hedging value and optimal hedging strategy of RMB foreign exchange options, and compares the effect of hedging with foreign exchange forward. The empirical study shows that, according to the optimal strategy determined by this model, the effectiveness of RMB foreign exchange option portfolio to hedge exchange rate risk is significantly better than that of foreign exchange forward, which can effectively reduce the loss of wealth and enhance profit space. By comprehensively managing the risk position of foreign exchange options portfolio, the risk coping ability of hedging portfolio in uncertain environment is improved significantly, and the effective matching between profitability and risk control is realized.
【作者单位】： 北京航空航天大学经济管理学院;
【基金】：国家自然科学基金重点资助项目(70831001) 国家自然科学基金创新研究群体科学基金资助项目(70821061)
【分类号】：F224;F832.6
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