中国能源期货的对冲模型比较研究 |
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引用本文: | 殷炼乾,赵驰.中国能源期货的对冲模型比较研究[J].济南金融,2013(12):25-29. |
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作者姓名: | 殷炼乾 赵驰 |
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作者单位: | [1]暨南大学国际商学院,广东珠海519070 [2]东南大学经济管理学院,江苏南京210008 |
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基金项目: | 本文感谢暨南大学“中央高校基本科研业务费专项资金”与“2012年度江苏省社科基金一般项目基金”(12EYB006)资助. |
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摘 要: | 本文以中国燃料油期货及现货数据为例,介绍了中国能源市场中对冲实践的一系列流程:从理论框架、模型选择、数据检验、对冲期限到对冲有效性检验。本文遵循该流程,对比了基于最小方差和效用最大化两类理论框架下的四类模型(OLS、VAR和两类不同的误差修正向量GARCH模型)。实证研究发现:(1)对冲效果与对冲期限呈现先上升后下降的倒U型关系;(2)在效用最大化理论框架下,采用基于向量的GARCH模型和15天动态对冲策略的投资组合对冲后修正夏普比率高达2.95,提升风险收益比的效果十分显著。
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关 键 词: | 对冲 能源期货 动态模型 效用最大化 |
Comparative Study on Hedging Models of China's Energy Futures |
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Abstract: | This paper introduces the protocol of hedging practice in China's energy future market with Chinese fu- el oil future and spot data set as the example. The protocol includes the selection of theories and models, data diagno- sis, hedging periods and its effectiveness. This paper compares four models, namely, OLS, VAR, VECM-GARCH and dynamic OLS through both variance-reduction and mean-variance utility maximization approaches. The empirical study finds that firstly, the effectiveness of hedging strategies has shown an inverted U shape with the hedging hori- zons. Secondly, by using a dynamic strategy of 15 days' time horizon with VECM-GARCH model under the ap- proach of utility maximization, the portfolio can reach a revised Sharpe ratio of 2.95. The improvement of risk/reward ratio is quite remarkable. |
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Keywords: | hedging energy futures dynamic model utility maximization |
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