Title: 最小變異 與 左尾部分動差 之避險策略比較研究
The Comparison and Research between Minimum Variance and Lower Partial Moment Hedging Starages
Authors: 王雅弘
Ya-hung Wang
Her-Jiun Sheu
Keywords: 最小變異數;左尾部分動差;二維異質條件變異誤差修正模型;避險比例;minimum variance;lower partial moment;bivariate GARCH model;hedge ratio
Issue Date: 2000
Abstract: 在傳統期貨避險策略中,投資者關心其報酬之風險大小,主要是以最小變異數法 ( Minimum Variance ) 為主。但是就經理人的立場而言,考慮損失方的風險比考慮獲利方還要重要的多。故考慮左尾部分動差 ( Lower Partial Moment ) 之避險策略近年來成為討論的重點。本研究即討論以台灣股價指數之現貨及期貨為標的,資料選取期間台股指數期貨為1998年9月1日至2000年6月29日,並以二維異質條件變異誤差修正模型來描述台灣股價指數之現貨及期貨之間的關係,比較最小變異數 ( Minimum Variance )及左尾部分動差( Lower Partial Moment )之兩種避險策略其相同及相異之處。實證結果發現 : 就LPM與MV避險比例的平均值與標準差而言,LPM避險比例之平均值在目標報酬為大於等於–1.0%時, 均大於MV之平均值。LPM避險比例之標準差則於目標報酬率大於等於 –0.5%時也較MV之標準差大。LPM 與MV 相關係數在目標報酬率為 -1.5% 時為最高。大體來說,目標報酬愈大, 風險趨避係數愈小, 則 LPM 所得到的避險比例跟 MV 所得的避險比例相差就愈多。
In the traditional future hedging strategy, investors are always care of the risk value of the return. From the view point of fund management, he generally values the downside risk most importantly so the LPM ( Lower Partial Moment ) hedging strategy become the point of discussion . The Taiwan index spot and future data are employed in this work. The sample period extends from 1998/9/1 to 2000/6/29. The Bivariate GARCH(1,1) model is applied to describe the relationship between the Taiwan spot index and future index. Minimum Variance (MV) and Lower Partial Moment (LPM) hedging strategies are compared. It is found that LPM results in a greater mean value than MV when the target return value is larger than –1.0% . On the other hand, LPM’s standard error is larger if the target return value is larger the –0.5% . It is concluded that when the target return is larger and the risk averion coefficient is smaller, the difference between the LPM hedging ratio and MV hedging ratio will be larger .
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