【摘要】 采用参数和非参数分布法来刻画边缘分布特征,结合Copula技术来描述期现市场间的相关性,以CVaR最小化为目标函数,建立基于静态和动态Copula-CVaR的最优套保比率度量模型。以沪深300指数现货和期货为研究对象,建立静态和动态Copula-CVaR模型及OLS模型,在给定套保期限内,分析了各模型的套保费用,并给出了修正成本套保效率的比较分析。结果表明,考虑套保费用时,应选择简单易行的静态套保策略,即使市场条件相同,也应据自身的费用情况选择最优套保策略。更多还原

【Abstract】 Using parametric and non-parametric distribution to describe the marginal distributions’features and combining Copula function technique to describe the correlation between them,this paper takes CVaR risk minimization as the objective function and establishes an optimal hedging ratio model based on constant and dynamic Copula-CVaR.Selecting the recent spot and futures of IS300 as samples,it establishes constant and dynamic Copula-CVaR and OLS model,then analyzes the hedging cost and gives comparative analysis of the amendment-cost-hedging-efficiency for each model in a certain hedging term.The results show that given the hedging cost,investors should choose a simple static hedging strategy and should select the optimal hedging strategy based on their actual cost conditions even under the same market conditions.更多还原