套期保值者策略性交易和市场多重均衡

金融市场中,投资者为规避风险经常采取套期保值策略,降低因资产价值波动带来的风险.从金融市场微观结构理论出发,通过分析知情交易者交易策略和做市商定价策略对套期保值者交易的影响,构建了套期保值者策略交易模型.从模型和数值分析得出,套期保值者的策略性交易使市场具有产生多重均衡的可能:一种为套期保值者数量多,流动性高的均衡;另一种为套期保值者数量少,流动性低的均衡.其形成过程为套期保值者进入(退出)市场会引起其他套期保值者进入(退出)市场,形成预期自我实现现象,导致不同流动性下的均衡.     

双渠道下制造商现金流套期保值决策研究

由于汇率、利率、商品价格的变化以及双渠道供应链关系的复杂性,企业的现金流存在较大的波动性。本文研究双渠道销售模式下,制造商对现金流进行套期保值的决策问题。重点关注垄断企业在拥有一个分销商和线上销售的双渠道销售模式下,并利用内部融资将现金流用于提高生产效率时,如何根据现金流的波动程度、市场需求、替代产品敏感系数以及批发价格进行套期保值决策。研究了双渠道销售模式下制造商的均衡问题,比较了两种决策下的均衡解,并通过数值分析给出了直观的结论:市场最大需求与替代产品敏感系数增加时,企业更倾向于选择套期保值;现金流波动程度与批发价格增加时,企业更倾向于不选择套期保值。     

基于套期保值的双寡头零售商供应链均衡策略分析

考虑一个供应商和两个零售商构成的供应链,零售商在面对市场需求风险时决策是否采用套期保值来规避风险.文章分别分析了Cournot和Bertrand两种博弈情景.研究表明:两种博弈存在相同的纳什均衡,两个零售商都会采取套期保值策略.在Cournot博弈下,零售商通过套期保值能够为供应商带来更多的利润;而在Bertrand博弈下,零售商选择套期保值却会降低供应商的利润.相比Cournot博弈,供应商在Bertrand博弈下获利更高.     

工程承包中的套期保值策略分析研究

在国际工程承包投标时,当存在非系统风险的情况下,风险溢价(Risk Premium)会影响当事人的套期保值策略.在以往的研究中,仅仅局限于选择一个最优的套期保值比率,而在实践中,当事人的偏好对套期保值的策略影响很大,当事人的不同偏好,风险溢价对工程项目的套期保值策略影响也存在很大的不同.     

组合投资β调整与效用最大化的套期比的选择

为了针对市场风险对风险资产的组合投资进行套期保值，一般认为要选择将组合投资多头和期货合同空头结合起来的头寸方差最小化的套期保值比率，也就是要选择使某一特定函数的期望效用最大化的套期保值比率。但是本认为，由于种种原因，人们更倾向于选择对简单风险最小头寸的套期保值比率。     

期货套期保值的最小二阶矩方法

利用期货市场套期保值策略，企业可以避免或减少现货价值波动的风险。但是人们常常使用传统的最小方差法来求出套期保值率及其相应的套期保值风险。在本文我取小方差法存在的缺陷，提出了套期保值的最小二阶矩方法。导出新的套期保值率及其相应的套期保值总风险，空头套期保值风险和多头套期保值风险。为判断当前价格适合进行空头套期保值还是适合多头套期保值提供理论依据。     

考虑结算风险的套期保值研究

期货市场的风险转移功能主要通过套期保值策略来实现,期货市场套期保值的关键问题是套期保值比率的确定。现有套期保值研究侧重于规避价格风险,忽略了期货市场另一个重要的风险因素-结算风险。本文通过建立考虑结算风险的期货套期保值决策模型,有效地平衡了套期保值过程中的价格风险与结算风险。具体特色一是将套保者的结算风险厌恶态度直接反映到套期比的计算中,体现了结算风险对套期保值决策的影响;二是在一定条件下,本模型的套期比趋近于最小方差套期比;三是利用ARMA时间序列方法预测期货与现货的价格走势,有效地反映了期货价格一阶平稳和季节性变化规律,使估计的套期比更加精确可靠。     

基于最小模糊方差的最优交叉套期保值模型

采用隶属度消除期货和现货收益率的异常波动对套期保值的影响,用非线性风险叠加原理描述多种期货对一种现货的组合风险,在最小方差套期保值模型的基础上,建立了基于最小模糊方差的最优交叉套期保值模型。本模型的创新与特色一是通过多种期货对一种现货的交叉套期保值提高了套期保值的有效性。这解决了仅用一种期货对一种现货进行交叉套期保值而导致风险较大的问题。二是用隶属函数对期货和现货收益率赋权消除离散程度大的收益率对最优套期比的影响。在采用隶属函数赋权的情况下,离散程度大的期货和现货收益率会被自动地赋予较小的权重,有效地减小了异常数据对最优套期比的影响。三是用非线性风险对冲原理叠加多种期货对一种现货的组合风险。通过期货与现货收益率的模糊协方差矩阵计算组合风险,反映了风险的非线性叠加和非线性对冲。四是现有研究的多种期货对一种现货的最小方差交叉套期保值模型仅仅是本模型在模糊隶属函数取1时的一个特例。当本模型的隶属函数为1时,本模型就是多种期货对一种现货的最小方差交叉套期保值模型;当本模型的隶属函数为1时、且研究对象为一种期货对一种现货套期保值时,本模型就是一种期货对一种现货的最小方差交叉套期保值模型。通过实证研究和与现有研究的对比分析,证明本研究所建立的模型可以有效的减小套期保值的风险并提高套期保值的有效性。     

基于GC-MSV模型的沿海干散货运费衍生品套期保值研究

面对干散货航运运价波动,货主或者航运企业需要通过适当的方法进行风险管理,通过航运运费衍生品进行套期保值是一种主要的风险控制方法。本文采用GC-MSV、在最小方差准则下,研究了中国沿海煤炭运费衍生品的套期保值效果,估计了最优静态套期保值率和动态套期保值率,并与其他不同模型进行对比分析。从套期保值效果看,动态调整的GC-MSV模型优于其他模型,通过套期保值能降低20%~40%的波动率。尽管对资产方差降低的作用有限,沿海煤炭运费衍生品依然能够起到一定的对冲风险作用。     

不可交易资产的平方套期保值问题

提出并解决了不可交易资产的套期保值问题.基于金融实际构建了不可交易资产套期保值模型,在风险资产价格服从跳扩散模型的假设下提出了三个平方套期保值问题.借助于一个辅助过程和Hilbert空间投影定理,利用市场可观测量以后向形式给出了平方套期保值标准下的最优策略.最后通过Monte Carlo方法验证了套期保值策略的有效性.     

Capacity expansion and forward contracting in a duopolistic power sector

The surge in demand for electricity in recent years requires that power companies expand generation capacity sufficiently. Yet, at the same time, energy demand is subject to seasonal variations and peak-hour factors that cause it to be extremely volatile and unpredictable, thereby complicating the decision-making process. We investigate how power companies can optimise their capacity-expansion decisions while facing uncertainty and examine how expansion and forward contracts can be used as suitable tools for hedging against risk under market power. The problem is solved through a mixed-complementarity approach. Scenario-specific numerical results are analysed, and conclusions are drawn on how risk aversion, competition, and uncertainty interact in hedging, generation, and expansion decisions of a power company. We find that forward markets not only provide an effective means of risk hedging but also improve market efficiency with higher power output and lower prices. Power producers with higher levels of risk aversion tend to engage less in capacity expansion with the result that together with the option to sell in forward markets, very risk-averse producers generate at a level that hardly varies with scenarios.     

生产率差异与企业对外直接投资进入模式选择

基于企业异质性视角,借鉴演化博弈理论探究企业通过OFDI“走出去”时的跨国并购方和标的方在全要素生产率上的差异对企业OFDI进入策略选择的影响机制。利用Hotelling模型构造资本密集型企业与劳动密集型企业OFDI进入策略选择博弈模型,讨论两类企业OFDI进入方式决策在并购双方生产率差异变化之下的变迁机理。研究发现:当并购方和被并购方生产率差异较小时,市场达到两类企业都倾向于跨国并购策略的演化稳定状态;当并购双方生产率差异较大时,企业的生产要素密集度及其结构对其OFDI进入模式决策具有重要的作用,知识或技术密集度较高的资本密集型企业与综合实力强势的部分劳动密集型企业采取跨国并购战略,而另一部分劳动密集型企业选择绿地新建方式进入国际市场。即企业OFDI进入策略选择因其所属的行业生产要素密集度及其结构不同而具有差异性。研究结论在一定程度上弥补了现有研究的不足,为以后的研究工作提供一定的理论参考。     

Dynamic asset allocation with event risk,transaction costs and predictable returns

We examine the interplay between event risk, transaction costs and predictability on the dynamic asset allocation of an investor with discrete trading opportunities. The model is calibrated to the U.S. stock market and a Gauss–Hermite quadrature approach is used to solve the investor’s dynamic optimization problem. Numerical scenarios are examined to show the impact of event risk on asset allocations, hedging demands, no-trading regions, and certainty equivalent returns. It is found that event risk shrinks hedging demand. Neglecting event risk can also lead to sizeable certainty equivalent return losses.     

网络效应影响下品牌商与模仿者的竞争策略

近年来,品牌商与模仿者的竞争问题引起了社会的广泛关注。本文构建了包含一个品牌商和一个潜在模仿者的两周期动态博弈模型,且消费者具有策略性行为。品牌商在第一周期是市场的垄断者,若模仿者在第二周期进入市场,那么第二周期会变成双寡头市场。模仿者入侵市场除了会引起竞争效应外,与品牌产品的相似性也会引起网络效应,从而增加品牌产品的市场接受度。因此,面对模仿者入侵,品牌商需要同时权衡竞争效应与网络效应两方面的影响。研究结果表明:(1)网络效应并不总是对品牌商和模仿者的价格和需求等产生积极影响。(2)模仿产品质量不可提升过高,当模仿产品质量和品牌产品质量过分接近时,两个企业的利润都会降低。(3)当网络效应较小或者模仿产品质量过高时,品牌商在双寡头市场的需求可能会高于垄断市场的需求。     

The role of index bonds in universal currency hedging

This study examines the demand for index bonds and their role in hedging risky asset returns against currency risks in a complete market where equity is not hedged against inflation risk. Avellaneda's uncertain volatility model with non-constant coefficients to describe equity price variation, forward price variation, index bond price variation and rate of inflation, together with Merton's intertemporal portfolio choice model, are utilized to enable an investor to choose an optimal portfolio consisting of equity, nominal bonds and index bonds when the rate of inflation is uncertain. A hedge ratio is universal if investors in different countries hedge against currency risk to the same extent. Three universal hedge ratios (UHRs) are defined with respect to the investor's total demand for index bonds, hedging risky asset returns (i.e. equity and nominal bonds) against currency risk, which are not held for hedging purposes. These UHRs are hedge positions in foreign index bond portfolios, stated as a fraction of the national market portfolio. At equilibrium all the three UHRs are comparable to Black's corrected equilibrium hedging ratio. The Cameron-Martin-Girsanov theorem is applied to show that the Radon-Nikodym derivative given under a P -martingale, the investor's exchange rate (product of the two currencies) is a martingale. Therefore the investors can agree on a common hedging strategy to trade exchange rate risk irrespective of investor nationality. This makes the choice of the measurement currency irrelevant and the hedge ratio universal without affecting their values.     

农产品供应链质量安全中区块链技术投入的演化分析

针对农产品质量安全的不确定性,及引入区块链技术能提高农产品质量安全溯源信息的可信度,建立了基于区块链技术投入的农产品供应商与加工者的演化博弈模型,并对模型的动力系统和策略稳定性进行了分析和系统模拟仿真。研究发现：企业进行区块链技术投入的策略与其投入后市场需求增加率有直接关系,随着市场需求增加率的变化,系统出现多种演化稳定均衡。政府的补贴机制,能解决企业进行区块链技术投入中存在的“搭便车”问题;促使供应链的成员企业均进行区块链技术投入。研究结果对政府策略的制定和企业进行区块链技术投入决策具有一定的启示。     

Strategic upfront marketing channel integration as an entry barrier

This paper investigates an organizational design problem concerning whether duopolistic firms competing in a product market should vertically integrate or separate their marketing channels in a dynamic noncooperative game setting. Previous operational research models have shown that the separation of the marketing channel with the adoption of a two-part tariff contract is the dominant strategy compared with integration for each firm if the two firms face retail price competition, and thereby constitutes the subgame perfect Nash equilibrium (SPNE). Contrary to this previous insight, this paper demonstrates that if exogenous parameters that characterize fixed costs, product substitutability, and a demand function fall into a specific region, marketing channel integration dominates the separation strategy when one of the two firms is the incumbent firm while the other is a potential entrant. In other words, the well-known result in the price-setting game can be reversed when we take entry threats into consideration. Specifically, we show that upfront vertical integration of the marketing channel enables the incumbent to deter the entry of the potential competitor and to monopolize the market in the SPNE. This result has operational implications for a firm confronting the threat of potential rivals entering the market, in that the firm can use this apparently inferior strategy as a commitment device, which creates a virtual entry barrier.     

Nonmyopic optimal portfolios in viable markets

We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general diffusion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new object that we call the “rate of macroeconomic fluctuation” whose properties are fundamental for the portfolio dynamics. We show that, under natural cyclicality conditions, (i) the agent’s hedging demand is positive (negative) when the product of his prudence and risk tolerance is below (above) two and (ii) the portfolio weights decrease in risk aversion. We apply our results to study a general continuous-time capital asset pricing model and show that under the same cyclicality conditions, the market price of risk is countercyclical and the price of the risky asset exhibits excess volatility.     

On Carr and Lee’s Correlation Immunization Strategy

In their seminal work Robust Replication of Volatility Derivatives, Carr and Lee show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset’s volatility process is independent of the Brownian motion that drives the asset’s price. Additionally, they propose a correlation immunization strategy that minimizes the pricing and hedging error that results when the correlation between the risky asset’s price and volatility is non-zero. In this paper, we show that the correlation immunization strategy is the only strategy among the class of strategies discussed in Carr and Lee's paper that results in real-valued hedging portfolios when the correlation between the asset’s price and volatility is non-zero. Additionally, we perform a number of Monte Carlo experiments to test the effectiveness of Carr and Lee’s immunization strategy. Our results indicate that the correlation immunization method is an effective means of reducing pricing and hedging errors that result from a non-zero correlation.     

Utility indifference pricing and hedging for structured contracts in energy markets

In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model driven by finitely many stochastic factors. The buyer of such contracts is allowed to trade in the forward market in order to hedge the risk of his position. We fully characterize the buyer’s utility indifference price of a given product in terms of continuous viscosity solutions of suitable nonlinear PDEs. This gives a way to identify reasonable candidates for the optimal exercise strategy for the structured product as well as for the corresponding hedging strategy. Moreover, in a model with two correlated assets, one traded and one nontraded, we obtain a representation of the price as the value function of an auxiliary simpler optimization problem under a risk neutral probability, that can be viewed as a perturbation of the minimal entropy martingale measure. Finally, numerical results are provided.