基于下偏矩的期货对冲模型及实证研究

The Future Hedging Model Based on LPM and Empirical Research

利用沪深300指数及期货的日交易数据,探讨下偏矩模型下的空头期货最优对冲比率,及样本内外的对冲绩效和组合收益率。结论显示,风险参数和目标收益率在形成下偏矩模型的对冲策略上,存在显著影响。其中,下偏矩最优对冲比率是目标收益率的增函数,是风险参数的减函数;在较高的风险厌恶程度、特别是较低的目标回报率条件下,下偏矩模型样本内外的对冲绩效都有良好表现。从而,下偏矩模型更加适合高风险厌恶或者低目标回报的对冲者,但以对冲组合收益率的下降为代价。

With daily trading data from the Shanghai-Shenzhen 300 index and the futures, this paper estimates the optimal LPM hedging ratios （OHR）, and evaluates the hedging performance and portfolio returns in-sample and out-of-sample. The empirical study of short hedging strategy concludes that： （1） the risk parameter and target returns have significant influence in forming the hedging strategy of LPM model. Among which the optimal hedging ratios are the increasing function of target returns, and the decreasing function of risk parameter. （2） on the condition of higher risk averse and specially the lower target returns, there is fine hedging performance insample and out-of-sample. This paper concludes the LPM model is suit for hedger with higher risk averse and lower target returns, and with the cost of the declining hedging portfolios returns.