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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2018, Vol. 35 ›› Issue (6): 611-621.doi: 10.3969/j.issn.1005-3085.2018.06.001

• •    下一篇

R-藤Pair Copula模型下的投资组合最优套期保值比例研究

陈   涛1,   程希骏1,   马利军2,   符永健1   

  1. 1- 中国科学技术大学管理学院，合肥  230026
    2- 深圳大学管理学院，深圳  518060
  • 收稿日期:2016-12-22 接受日期:2017-05-08 出版日期:2018-12-15 发布日期:2019-02-15
  • 基金资助:
    国家自然科学基金(11371340).

Optimal Hedging Ratio of Portfolio under the R-vine Pair Copula Model

CHEN Tao1,   CHENG Xi-jun1,   MA Li-jun2,   FU Yong-jian1   

  1. 1- School of Management, University of Science and Technology of China, Hefei 230026
    2- School of Management, Shenzhen University, Shenzhen 518060
  • Received:2016-12-22 Accepted:2017-05-08 Online:2018-12-15 Published:2019-02-15
  • Supported by:
    The National Natural Science Foundation of China (11371340).

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摘要： 目前我国证券市场尚未成熟，风险对冲手段单一，因此构建一个期货对多资产进行套期保值策略对于投资组合的风险管理尤为重要．本文构建了基于线性规划的最小CVaR（Conditional Value at Risk）套期保值模型，同时运用R-藤Pair Copula-GARCH模型结合蒙特卡洛模拟生成投资组合中各资产收益率的情景和概率，将结果用于基于线性规划的最小CVaR套期保值模型，可确定投资组合的最优套期保值比例．针对沪深300指数和5支沪深300成分股的实证研究表明，相对改良后的正态假定模型，经本文模型套期保值后的投资组合在风险和收益上均有更好的表现．

关键词: Pair Copula, GARCH, CVaR, 套期保值比例

Abstract: At present, Chinese security market is not mature and risk hedging tools are limited. Therefore, the use of one futures hedging on multiple assets is an important strategy in portfolio risk management. This paper first constructs a minimum CVaR\,(Conditional Value at Risk) hedging model based on linear programming and then applies the R-vine Pair Copula-GARCH model combined with Monte Carlo simulation to generate the joint distribution of returns and scenarios that fit the simulated distribution, which is the inputs to the minimum CVaR model to obtain the optimal hedging ratio. Empirical researches based on CSI 300 stock index futures and five stocks have shown that portfolios hedged by using the proposed model in this paper achieve better performance in both return and risk control when compared with the improved hedging model under normal distribution assumption.

Key words: Pair Copula, GARCH, CVaR, hedge ratio

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