期货市场套期保值线性策略的困境:理论评述

Review of Thery--Dilemma of Linear Strategy of Futures Hedging

对传统套期保值理论框架中的线性策略进行理论评述,阐述期货市场上存在的非线性特征对传统线性策略所构成的挑战。最后,提出依据连接函数构建非线性套期保值策略的思路。通过案例分析表明,非线性策略能够结合市场不对称相关特征,具备解决市场极端变化以及不对称相关问题的能力。

Asymmetric correlation challenges the traditional hedging strategy. Copula theory will be used to constructed new framework to deal with asymmetric correlation. Those results showed that, the new strategy outperform traditional dynamic and static strategies, especially when extreme volatility occurrence and markets situation changing.