基于风险约束的套期保值模型及沪深300股指实证研究

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%.

The Hedging Model Based on Risk Restriction and Hushen 300 Stock Index Empirical Research

This research proposes that the risk restriction of hedging portfolio is established with value at risk.The hedging model based on risk restriction is established,taking the maximum revenue of hedging portfolio as its target and taking the control of hedging portfolio risk as its constraint.This model may substantially enhance the hedging portfolio revenue based on controlling risk.At the same time,this research does the empirical analysis about Hushen 300 stock index spots and futures data and compares ordinary least squares(OLS), vector auto regression(VAR),vector error correction(VEC) with the hedging model based on risk restriction.The in-sample test results show that the revenue of this model is much larger that that of the other models and the average growth rate is 81.6%.Furthermore,it doesn’t lack of risk control and there is only 5.32%difference from the other models.The out-of-sample test results show that this model is superior to the other models in terms of risk control and revenue increase and the revenue of this model averagely increases by 21.4%and the risk averagely reduces by 3.61%.