石油长期合约的期货对冲风险及策略

发布时间：2018-05-25 23:59

本文选题：长期合约 + 最优对冲策略　；参考：《系统工程》2017年04期

【摘要】：石油价格的剧烈波动给石油长期合约对冲带来了巨大挑战,本文以石油期货为工具设计了滚动对冲方法,提出了最大单日现金流与最大累计现金流评价指标,结合方差减小比例、平均对冲比例、夏普比率,实证研究了13种对冲策略的表现,研究结果表明,LL对冲策略的现金流风险与平均对冲比例两项指标优于其他策略,VAR(1,1)对冲策略的夏普比率与方差减小比例表现优于其他策略。基于此,投资者应根据自身风险偏好选择适当的对冲策略对冲石油长期合约。
[Abstract]:The sharp fluctuation of oil price brings great challenge to the long-term oil contract hedging. In this paper, a rolling hedging method is designed with oil futures as a tool, and the evaluation indexes of maximum daily cash flow and maximum cumulative cash flow are proposed. Combining variance reduction ratio, average hedge ratio and Sharp ratio, we empirically study the performance of 13 hedge strategies. The results show that the cash flow risk and average hedge ratio of all hedge strategies are better than those of other strategies. Therefore, investors should choose appropriate hedging strategies to hedge long-term oil contracts according to their own risk preference.
【作者单位】：湖南大学工商管理学院;
【基金】：国家自然科学基金资助项目(71431008;71521061;71301047)
【分类号】：F713.35;F764.1

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