考虑条件高阶矩风险的动态对冲模型研究被引量：7

Research on Dynamic Hedging Model Considering Conditional Higher-order Moments Risk

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摘要传统的期货对冲模型多数忽视了期货和现货收益高阶矩风险的影响。本文使用效用函数的Taylor展开分析了高阶矩风险对投资者目标函数的影响,并利用二元GARCHSK模型对期货和现货收益的条件高阶矩风险进行了动态建模,在此基础上提出了考虑条件高阶矩风险的动态对冲模型。通过使用恒生指数期货和现货数据的实证表明,考虑条件高阶矩的动态对冲策略和静态策略相比,能够更有效地降低高阶矩风险和提高投资者的效用。 The higher-order moments risk is often ignored in the most of the traditional futures hedging models. In this paper, a dynamic hedging model considering conditional higher-order moments risk is proposed, in which the impacts of the higher-order moments are considered based on the Taylor series expansion of the utility function and the time-varying higher-order moments risk is measured using the GARCHSK model. The empirical results indicate that the dynamic hedging strategy can reduce the higher-order moments risk and increase the utility of the investor compared to the static strategy.

作者张龙斌王春峰房振明

机构地区天津大学管理学院

出处《管理工程学报》 CSSCI 北大核心 2009年第4期64-68,共5页 Journal of Industrial Engineering and Engineering Management

基金国家杰出青年基金资助项目(70225002) 国家自然科学基金资助项目(70771076)

关键词动态对冲二元GARCHSK模型条件偏度和峰度矩阵 dynamic hedging hi-variable GARCHSK conditional skewness and kurtosis matrix

分类号 F830.9 [经济管理—金融学]

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参考文献11

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二级参考文献29

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