基于时变Copula函数的下偏矩最优套期保值效率测度方法研究

Research of Optimal Lower Partial Moment to Measure the Efficiency of Hedging Based on Copula Function

由于下偏矩测度方法具有明显优于最小方差风险度量方法的特征,因此是更为合理的套期保值效率测度准则。本文针对已有的计算最小下偏矩套期保值比率的非参数方法与参数方法存在的局限性问题,提出使用时变Copula函数来估计现货与期货收益率的联合密度函数,然后通过数值方法计算最小下偏矩套期保值比率的新方法。并且运用上海期货交易所交易的铜期货合约价格与上海金属网公布的铜现货价格数据进行实证检验,发现使用具有随时间变化的相关系数的Copula函数,与非参数方法相比,可以得到更小下偏矩的套期保值率。

The lower partial moment（LPM） is a more reasonable criteria to measure hedge effectiveness than the variance method,because of its better features to estimate the risk exposure of hedging portfolio.However,there are many limitations in their parametric and non-parametric methods,which are used to estimate the optimal hedging ratio in the framework of LPM.This paper uses time-varying Copula function to introduce the joint density function of return ratios between spot and futures,and then estimates the minimum lower partial moment of the hedge ratios by using the numerical method.Empirical comparing the method of copula and the non-parametric methods by using the data of copper futures contract price traded in Shanghai Futures Exchange and copper spot price in the Net of Shanghai Metal,we find that the time-varying correlation coefficient Copula function can get much smaller hedging ratio than the non-parametric method.