基于期权中性对冲的投资策略实证研究

发布时间：2018-04-17 02:41

本文选题：市场中性 + 对冲　；参考：《对外经济贸易大学》2014年硕士论文

【摘要】：市场中性策略，是指将市场风险中性对冲后，通过发现证券市场中的定价错误，采取一整套系统、量化的投资过程，利用相关证券间价格的相对变化赚取绝对收益的投资策略。目前国内股票市场的中性策略产品多数是运用股指期货来做系统风险对冲，可运用的对冲策略较少。期权在风险管理、风险度量等方面具有独特的功能和作用，可以为投资者提供更好的回避市场风险的对冲工具和获利方法。期权的希腊值就是这样一套风险管理工具，，是量化期权头寸各种风险因素的一种指标。通过希腊值，可以动态管理市场中的各种风险敞口，并根据对价格变动方向或价格波动率的预期构造出各种各样的期权策略。本文在分析了影响期权中性对冲主要因素的基础上，提出了一个新型的投资策略思想，并通过实证检验的方法探讨了该策略在不同市场时期，不同约束条件下的收益表现。希望通过这样的研究，可以对将来的期权投资具有一定的现实探索意义，为未来的发展方式和管理方式的改善提供现实依据。
[Abstract]:Market neutral strategy refers to the investment strategy which takes advantage of the relative change of the relative price of the related securities to earn absolute income by detecting the wrong pricing in the securities market and adopting a whole set of system and quantitative investment process after hedging the market risk neutral.At present, most neutral strategy products in domestic stock market use stock index futures to hedge systematic risk, but few hedging strategies can be used.Options have unique functions and functions in risk management and risk measurement, which can provide investors with better hedging tools and profit methods to avoid market risks.The Greek value of options is such a set of risk management tools, is a quantitative option position of a variety of risk factors.Through the Greek value, we can dynamically manage all kinds of exposures in the market, and construct various options strategies according to the direction of price change or the expectation of price volatility.Based on the analysis of the main factors affecting the neutral hedging of options, this paper puts forward a new investment strategy idea, and discusses the performance of the strategy under different market periods and constraints through empirical tests.It is hoped that this study will be of practical significance to the future option investment and provide a realistic basis for the improvement of the future development and management mode.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5

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