考虑机会成本的最优期货备用保证金需求

A Study on Reserve Margin of Futures Markets Considering Opportunity Cost

保证金账户备用保证金富余或不足都可能会使投资者承受机会成本。在套期保值投资者可以获得短期贷款情况下,依次建立了基于最小化期望机会成本的单交易日和多交易日最优备用保证金优化模型,并讨论了模型的最优解性质。结合GARCH-VaR方法给出了最优备用保证金的动态设置方法,并通过上海交易所铜期货历史数据实证研究了备用保证金优化模型和设置方法的有效性和准确性。结果表明,本文模型和方法能够达到最小化期望机会成本的优化效果,且最优备用保证金的持有量和期望机会成本与投资者短期投资所能获得的短期无风险收益率负相关,而与银行短期贷款利率正相关。

It may bring opportunity cost when the reserve margin of futures is excessive or not enough. Assuming the investor can borrow money from banks or other institutions in time, this paper constructsreserve margin models of single trading day and multi-trading day aimed at minimizing the opportunity cost of the reserve margin. The theory and methods of GARCH-VaR models is used to decide the best reversemargin. An empirical study is carried out to test this model and method with data of copper futures from Shanghai Futures Exchange. The investors can achieve minimum opportunity cost based these models.Reserve margin level and opportunity cost are negatively related with short-term risk-free return rate, but positively correlated with short-term lending rate.