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提出利用风险价值VaR建立套期保值资产组合的风险约束.以套期保值资产组合收益最大为目标,以控制套期保值资产组合风险为约束,建立了基于风险约束的套期保值模型.该模型在有效控制风险的基础上,可以大幅提高套期保值资产组合的收益.对沪深300股指现货和期货的数据进行了实证分析,对比了现有研究的最小二乘((OLS)、向量自回归(VAR)、向量误差修正(VEC)三种模型以及本文建立的基于风险约束的期货套期保值模型.样本内检验结果表明,本模型比现有研究模型的收益有大幅提高,平均增加81.6%.同时并没有失去对风险的控制,与现有研究模型只有5.32%的差别.对于样本外检验,模型在控制风险和提高收益两个方面都要优于现有研究模型.模型比现有研究模型平均可提高收益21.4%,平均降低风险3.61%.
This paper puts forward the risk constraint of using hedging VaR to establish the portfolio of hedging assets.With the goal of maximizing the return of hedging portfolio and controlling the hedging portfolio risk, a hedging model based on risk constraint is established. Based on the effective control of risk, the return on the hedged asset portfolio can be substantially increased. Empirical analysis of the CSI 300 stock index and futures data shows that the OLS (least squares) Regression (VAR) and vector error correction (VEC), as well as the futures hedging model based on the risk constraint established in this paper.The test results in the sample show that the profit of this model is greatly increased compared with the existing research model, with an average increase of 81.6 %. At the same time, it does not lose the control of risk, which is only 5.32% different from the existing research model.For the out-of-sample test, the model is better than the existing research model in both control risk and income enhancement.Compared with the existing model, The research model can increase the average yield by 21.4% and the average reduction risk by 3.61%.