艺术品投资基金对冲机制设计初探

发布时间：2018-02-23 17:41

本文关键词： 艺术品投资基金对冲机制房地产衍生品信用衍生品总回报互换艺术衍生品艺术品市场指数 Hedonic模型法　出处：《福建师范大学》2010年硕士论文　论文类型：学位论文

【摘要】：目前,随着财富的增长和多样化投资的需要使得世界范围内对艺术品的需求增加,作为三大投资市场之一的艺术品市场的投资价值逐步被人们所认识和追求,艺术品投资基金正是在这样的背景下发展起来的,反映了艺术金融化和市场投资主体机构化的趋势。但是艺术品市场本身存在着交易成本高、市场热点不确定等无效率因素,大大增加了艺术品投资基金的风险。更为关键的是,对冲机制的缺席使得投资基金无法像在证券或货币市场上那样使用衍生品来对冲风险。作为全球第一支艺术品对冲基金,“艺术品交易基金”试图通过股票衍生品来解决这一问题,但是股票等有价证券与经济环境的关联度大,并会受到公司经营状况的影响,不能作为理想的对冲工具,倒是房地产市场由于具备与艺术品同样的异质商品属性,其对冲机制值得艺术品投资基金借鉴,所以本文参考了房地产衍生品的模式,选择信用衍生品中的总回报互换作为艺术品风险对冲的方式。另外,艺术品对冲机制的建立有赖于更完善的艺术品市场指数,目前现有的艺术品市场指数普遍采用重复销售法和平均数法,都各有其弊端,Hedonic模型法应该是针对像艺术品这类异质商品更好的计算方法,它不但能把艺术品的诸多属性包含进指数,而且可使用的数据范围也更加广泛。
[Abstract]:At present, with the increase of wealth and the need of diversified investment, the demand for art in the world has increased. As one of the three major investment markets, the investment value of the art market has been gradually recognized and pursued by people. It is against this background that the art investment fund has developed, reflecting the trend of art financialization and market investment subject institutionalization. However, the art market itself has inefficient factors such as high transaction costs, uncertainty of market hot spots, and so on. Greatly increased the risk of art investment funds. More crucially, The absence of hedging mechanisms prevents investment funds from using derivatives to hedge risks as they do in securities or money markets. As the world's first art hedge fund, art trading funds try to use equity derivatives. To solve this problem, However, stocks and other marketable securities have a strong correlation with the economic environment and will be affected by the company's operating conditions. They cannot be used as an ideal hedge tool. It is because the real estate market has the same heterogeneous commodity attributes as works of art. Its hedging mechanism is worthy of reference by the art investment fund, so this paper refers to the real estate derivatives model, and selects the total return swap in the credit derivatives as the way to hedge the art risk. The establishment of the art hedging mechanism depends on a better art market index. Currently, the existing art market indices generally use the method of repeated sales and the average method. The Hedonic model method should be a better calculation method for heterogeneous goods such as art. It can not only include many attributes of art into the index, but also use a wider range of data.
【学位授予单位】：福建师范大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：J124

【引证文献】