基于双侧风险度量方法的期货最优套期保值比率研究

发布时间：2018-01-01 19:25

本文关键词：基于双侧风险度量方法的期货最优套期保值比率研究　出处：《兰州大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文首先回顾了套期保值策略的发展历程及其研究现状,接着介绍了几种广泛应用的风险度量方法一VaR.CVaR等.在此基础上提出了基于CVaR和超额收益约束的双侧风险度量方法,最后将该双侧风险度量方法应用于期货套期保值策略,建立了基于双侧风险度量方法的期货最优套保比模型.并且选择了单位风险所获得的收益作为衡量套保效果的指标,比较了该模型与现有的基于最小方差、VaR和CVaR的套期保值效果. 现有的基于最小方差、VaR及CVaR的套保比模型均是本文建立的基于双侧风险度量方法套保比模型的一个特例.实证分析结果表明,基于本文模型的套期保值效果优于以往的基于最小方差,VaR及CVaR的套保模型,在某种程度上可以说双侧风险度量方法是一种更为优越的风险度量方法,能够为投资者提供更为有效的投资决策依据.
[Abstract]:This paper first reviews the development course of hedging strategy and its present situation, then introduces several widely applied risk measure method VaR.CVaR. Put forward on the basis of measurement CVaR and excess return constraints based on the bilateral risk, bilateral risk measurement method is applied to the futures hedging strategy, established bilateral risk measure the method of futures optimal hedging ratio. And the selection of model based on the obtained unit risk return as a measure of hedging effect index, compared the model with the minimum variance based on the existing, the hedging effect of VaR and CVaR.
Based on the existing minimum variance hedging model, VaR and CVaR are a special method of hedging model based on the measurement of bilateral risk is established in this paper. The empirical results show that based on the minimum variance based on the hedging effect of the model is better than in the past, VaR and CVaR of the hedging model, to some extent bilateral risk measurement method is a better risk measurement method, to provide investors with investment decision-making effectively.

【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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