资金约束下的M-V多阶段套期保值模型及算法

M-V Multi-period Hedging Model with Budget Restriction and Its Algorithm Research

研究带资金约束条件、以投资末期风险最小为目标函数的动态套期保值问题,利用嵌套辅助模型把不可分的多阶段均值-方差套保模型转换为一个能用动态规划处理的可分问题,从而推导出各阶段投资的最优套头比、套保有效性及套保组合有效前沿的解析表达式。最后通过实证分析发现:与传统方法相比,本文提出的方法能有效提高组合的套保有效性,尤其是当两种资产收益率相关性下降时。

This paper considers a problem with objective function of minimal risk at the target term of investment. Using a tractable auxiliary problem, we transform the inseparable multi-period hedge problem into a separable problem which can be solved by dynamic programming. As a result, we deduce the analytical expressions of multi-period hedge portfolio policy, the efficient frontier, as well as the best hedge ratio each period and hedging efficiency at expiration date. Finally, an empirical research is made in the gold market, it proves that, compared with the traditional mothed, our mothed can boost hedging effectiveness, especially when two capital＇s correlation declines.