组合投资β调整与效用最大化的套期比的选择

Selecting Hedge Ratio Adjusting Portfolio'β or Maximizing Utility

为了针对市场风险对风险资产的组合投资进行套期保值 ,一般认为要选择将使组合投资多头和期货合同空头结合起来的头寸方差最小化的套期保值比率 ,也就是要选择使某一特定函数的期望效用最大化的套期保值比率。但是本文认为 ,由于种种原因 ,人们更倾向于选择对简单风险最小头寸的套期保值比率。

To hedge a portfolio of risky assets against market risk, the prevalent view consists of selecting the hedge ratio minimizing the variance of a position combining a long position on the portfolio and a short position on a futures contract, e.g., selecting a hedge ratio maximizing the expected utility of some specific function. Nevertheless, for several reasons, one prefers to restrain the choice of a hedge ration to a simple risk minimizing position