摘要
Ederington(1979)按照套期保值方法演进,将套期保值方法分为简单套期保值方法、选择性套期保值方法和投资组合套期保值方法。按方法假设、统计模型、缺陷和套期保值效果对这三类模型进行评估。根据以上对三种套期保值方法的比较分析,投资组合套期保值方法更加有效,效果更好。本文通过OLS简单线性回归模型和GARCH模型两类模型确定最小方差套期保值比率,对基金十大重仓股进行了套期保值实证研究。按"套期保值的日常管理、风险控制、绩效评估"流程设计套期保值模式,详细制定了每步的操作要点。
In accordance with the evolution of hedging, method of hedging were divided into simple hedging, selective hedging and portfolio hedging by Ederiugtou （1979）. These three types of hedging model are evaluated from hypothesis, the statistical model, defects and the effect of hedging and portfolio hedging is more effective. In this paper, the ratio of minimum variance of hedging is determined by simple OLS linear regression model and GARCH model. The empirical research of main holding shares of the Fund is carried out. The process of hedging is designed by ＂day-to-day management of hedging, risk management, performance assessment＂, and detailed plans is developed.
出处
《金融研究》
CSSCI
北大核心
2009年第4期113-119,共7页
Journal of Financial Research
