自融资交易策略、复制资产组合和风险管理

Self Financing Transaction Strategies, Duplicated Assets Portfolio and Risk Management

衍生金融工具是进行风险管理的一个有效工具,但由于我国尚未有金融衍生产品市场,股票指数期货还在建设当中,因此使得投资者的风险管理面临着工具限制。但是,利用BS计算期权定价公式中的复制资产组合的方法,可以利用现有的资产,如股票、债券、无风险资产等,组成一个与金融衍生工具具备相同功能的组合,从而实现有效的风险管理。

Financial derivatives are an efficient instrument for risk management, however, there is no financial derivatives market in China and stock index futures is still in construction, hence investors have to confront with instrument limits in risk managemment. But, its advisable to take good advantage of assets available at present, such as stocks, bonds, no-risk-bearing assets, etc. , exploiting the method to duplicate assets portfolio using BS option pricing formula, to make up a portfolio with the same function as financial derivatives, so as to realize effective risk management.