套期保值中动态调仓的相机抉择

Discretion in Dynamical Positions Adjustment of Hedging

本文研究了动态套期保值策略在规避组合风险与产生交易成本之间的博弈问题,并且从传统的动态策略与静态策略期初绩效的比较拓展到动态策略每一时刻调仓与否的权衡,运用经济价值将动态套期保值策略每一时刻规避风险的价值量化,并将其与该时刻交易成本相比较,从而得到每个调仓时点相应决策——进行动态调仓或维持上一期的套期保值比率,实行相对静态套期保值策略,故而优化了传统动态套期保值策略。我们还对这一方法进行了实证研究,证明了传统的动态套期保值策略是存在缺陷的,运用相机抉择的套期保值策略能够获得更有效率的套期保值结果,同时运用相同的方法,分析调仓周期不同的套期保值者的套期保值策略,进一步证明了传统逐日调仓的套期保值策略的缺陷,验证了经济价值修正后的套期保值策略更有效率。

The trade-off between avoiding risk of portfolio and generating transaction cost in the dynamic hedging strategy is studied in this paper.Traditinal performance comparison of hedging strategies is changed to whether positon should vary everyday.using the economic value to quantize the value of risk avoidance and comparing it with transaction cost.In this way,using relative static strategy decisions can lie made al each point,thai whether people shall dynamically adjust their position or maintain our position.So the dynamic hedging strategy is optimized,furthermore,the empirical researches are made,and the results prove that the traditional hedging strategy is defective and the strategy modified by economic value is more effective.Meantime,different hedging strategies of different position adjustment cycle are analyzed,which further confirms that traditional the dynamic hedging strategy i* defective,the method proposed is more effective.