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題名 | 避險投資組合價值平穩化避險策略--動態預測避險研究法=A Portfolio Value Stabilization Hedging Strategy-Dynamic Hedging with Forecasting Approach |
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作 者 | 李進生; 盧陽正; | 書刊名 | 證券市場發展季刊 |
卷期 | 9:2=34 1997.04[民86.04] |
頁次 | 頁83-115 |
分類號 | 563.53 |
關鍵詞 | 平賭程序; 動態避險; 避險績效; Martingale; Dynamic hedge; Hedging effectiveness; GARCH; |
語文 | 中文(Chinese) |
中文摘要 | 本研究利用完整價格水準資訊,避開傳統避險模式分析中,採用差分資料可能產 生的資訊漏損問題,提出避險組合價值平穩化動態避險策略。在研究設計上迴避了靜態避險 模型之不適性,同時規避了期望效用極大化避險模型中特殊效用函數與常態隨機誤差項之設 定,以及ARCH系列動態避險模型中關於期貨價格服從平賭過程之假設。 本研究提出的避險組合價值平穩化避險模式,結合了卡曼淨濾預測模型,促使避險投資 組合之價值--即目標基差值邁向平賭程序(martingale processes),使得避險投資組合之 價值因平穩化而不存在超額風險貼水,從而逼近完美避險之水準;在此避險策略架構下,可 求得動態避比率之估計,使得投資組合的風險可以充份降低。 實證研究以英磅、日圓、馬克、瑞士法郎與加幣等五種主要外匯為標的物,分析比較本 研究所提出之避險模型與雙變量GARCH避險模型。在避險績效的比較上,本研究所提出的避 險模型顯著於雙變量GARCH避險模型。 |
英文摘要 | An portfolio value stabilization dynamic hedge is proposed to govern the risk of a hedged portfolio approaching into an optimal situation.The problems pertaining to the static hedge, the expected tility maximization hedge, the continuous hedge, and the ARCH series hedge models can be scrupulosuly eluded.In the real world, the risk of the payoff of a hedged portfolio comes from the unanticipated changes of the target basis, which is equal to the carrying cost risk of the underlying asset.Through prior adjustments for the hedge ratios, the unexpected cost of carry differentials can be eliminated.Such a research design employs the zero-return zero-risk notion of the fair game martingale process for the value of a hedged portfolio.The GARCH(1,1) model is adopted in comparison with the hedging effectiveness of our model. Five foreign exchange data, British pound, Japanese yen, German mark, Swiss franc and Canadian dollar, are employed to perform our empirical study. The empirical results indicate the superiority of our portfolio value stabilizing approach. The reason for the commonplace qualification of GARCH(1,1) model is probably due to the martingale assumption for the futures prices, which is not accepted by most studies. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。