CAJ | 학술논문

在最优期货套期保值比的确定中，“最小下偏矩套期保值比”比传统的方差最小化模型能更好地反映投资者风险厌恶态度，但相应的计算不易实现。一种新的研究思路是运用由惩罚似然函数筛选出的Copula函数计算下偏矩，进而估计相应的套期保值比。基于S＆PS00指数期现货的空头套期保值实证结果表明，在“最小下偏矩套期保值比”的估计中，联合正态分布方法是不适用的，而混合copula方法的预测效果要优于非参方法和单-copula方法，是一种比较符合市场实际的“最小下偏矩套期保值比”计算方法。
재최우기화투기보치비적학정중，“최소하편구투기보치비”비전통적방차최소화모형능경호지반영투자자풍험염악태도，단상응적계산불역실현。일충신적연구사로시운용유징벌사연함수사선출적Copula함수계산하편구，진이고계상응적투기보치비。기우S＆PS00지수기현화적공두투기보치실증결과표명，재“최소하편구투기보치비”적고계중，연합정태분포방법시불괄용적，이혼합copula방법적예측효과요우우비삼방법화단-copula방법，시일충비교부합시장실제적“최소하편구투기보치비”계산방법。
In estimating of optimal hedging ratios, the minimum lower partial moment （LPM） hedging ratio model has a better ability to reflect the risk attitude of investors than the traditional minimum variance hedging ratio model. But the computation of the LPM is not easy. A new method is to calculate the minimum LPM hedging ratio based on mixed copulas selected by a penalized likelihood approach with shrinkage selection criterion. The empirical results based on the analysis of the S＆P 500 index spots and futures conclude that when estimating the minimum LPM hedging ratio, it is inappropriate to use the joint normal distribution methods and the mixed copula method is better than the nonparametric and the single copula methods.