基于风险分解的股指期货套期保值策略研究

本文构建了基于方差分解的股指期货套期保值模型,并求解了相应的最优套期保值比率。将总体风险分解为系统风险与非系统风险,根据套保目标,通过在两类风险之间分配不同的权重可以提高组合整体表现。研究表明,方差分解套期保值模型更能有效地反映投资者对于风险类别的不同偏好,克服了H-D模型及MV模型的不足,具有良好的概括能力且更有利于套保目标的实现。

The Stock Index Futures Hedging Strategy Based on the Risk Decomposition

Through decomposing the total risk into the system risk and nonsystematic risk, a new stock index futures hedge model is proposed and the best hedge ratio is resolved. According to the hedge purpose, endowing the two types of risk with different weights can improve the portfolio performance. The result shows that the stock index futures strategy based on the risk decomposition have three advantages. Firstly, the model can effectively reflect investors’ preference to different risk types. Secondly, the model has a good summary ability. The MV model, H-D model and HKL model are all its special forms. Thirdly, by risk-decomposing and parameter-controlling, the model can track the market risk factor more effectively, and then help investors more easily realize their individual investment strategy, such as the alpha strategy.