多品种股指期货组合套期保值模型研究及实证分析

发布时间：2017-12-27 10:21

本文关键词：多品种股指期货组合套期保值模型研究及实证分析　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：2015年6月12日的股灾到现在为止还令人记忆犹新,千股跌停的情景给刚开始发展的我国金融衍生品市场带来了重大灾难。现如今市场风险的不确定性使得投资者对于投资组合风险规避有着巨大的需求。目前股指期货的风险规避功能正在被越来越多的人所关注,其实现的主要手段就是套期保值策略,而多品种的股指期货保值策略则可以更加有效的规避风险。本文在阅读大量相关文献的基础上,从现货投资组合作为切入点,首先通过非线性最优化的方法得到使得套期保值比率最高的最优现货投资组合个股权重。然后确定最优套期保值比率,将静态套期保值比率窗口动态化,并与动态套期保值比率的计算结果进行对比,通过比较HE指标(收益率方差下降百分比)找到了最佳套期保值比率模型。之后根据套期保值模型的基本理论,最优套期保值比率模型,以及多品种股指期货套期保值模型的理论分析,以任意的投资组合为标的,以套期保值效率最高为目标,将非线性最优化方法应用到套期保值策略中,按照完整的实际套期保值业务链条来进行了实证研究,计算出了最优现货组合权重、按照建仓日最大持仓量约束来计算最大投入金额及持仓明细以及混合套期保值中三种股指期货合约的比例。本文研究结论表明:在实证分析中OLS模型和多元GARCH模型计算出的套期保值比率效果较好。利用上证50、沪深300、中证500三种股指期货对现货组合进行混合套期保值的套保效率要明显高于用上证50、沪深300、中证500三种股指期货对现货组合进行单一套期保值的套保效率。
[Abstract]:The stock market crash of June 12, 2015 so far is also very fresh, 1000 shares limit situation to the beginning of development of China's financial derivatives market has brought great disaster. At present, the uncertainty of market risk makes investors have great demand for risk aversion of portfolio. At present, the risk aversion function of stock index futures is being noticed by more and more people. The main way to achieve this strategy is hedging strategy, while a variety of stock index futures hedging strategy can more effectively avoid risks. On the basis of reading a lot of related literature, starting from spot portfolio, we first get the optimal weight of the spot portfolio with the highest hedging ratio through nonlinear optimization. Then the optimal hedge ratio is determined, and the static hedging ratio window is dynamically updated, and it is compared with the calculation results of dynamic hedging ratio. By comparing the HE index (yield variance variance percentage), we find the best hedge ratio model. According to the basic theory of hedging model, optimal hedge ratio model, and a variety of stock index futures hedging model with arbitrary portfolio for the subject, aim for the highest efficiency of hedging, the nonlinear optimization method is applied to the hedging strategy, according to the actual hedging business chain for the empirical research, calculates the optimal combination weights, according to the positions on the spot maximum positions constraint to calculate the maximum investment amount and position details as well as the three stock index futures contracts mixed hedging ratio. The conclusion of this paper shows that the effect of hedging ratio calculated by OLS model and multiple GARCH model is better in the empirical analysis. Using Shanghai Stock Exchange 50, Shanghai and Shenzhen 300, China 500, three kinds of stock index futures, the hedging efficiency of spot hedging on spot portfolio is significantly higher than that of Shanghai Stock Exchange 50, Shanghai and Shenzhen 300, and central 500 500 index futures.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5

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