CAJ | 학술논문

利用几何谱风险测度GM控制套期保值中组合资产的极端损失风险,建立了基于GM的期货套期保值优化模型。本模型的创新与特色一是现有研究的传统套期比、最小方差和VaR最优套期比模型仅仅是本模型最优套期比的一个特例;二是通过几何谱风险测度GM的风险厌恶函数对较大的极端损失赋予较大的权重达到了控制极端风险的目的;三是通过几何谱风险测度GM的风险厌恶函数对极端损失客观赋权改变了风险偏好人为给定的随意性;四是模型得到的最优套期保值比率由投机需求和纯套保需求两部分组成,反映套期保值者的真实需求。
이용궤하보풍험측도GM공제투기보치중조합자산적겁단손실풍험,건립료기우GM적기화투기보치우화모형。본모형적창신여특색일시현유연구적전통투기비、최소방차화VaR최우투기비모형부부시본모형최우투기비적일개특례;이시통과궤하보풍험측도GM적풍험염악함수대교대적겁단손실부여교대적권중체도료공제겁단풍험적목적;삼시통과궤하보풍험측도GM적풍험염악함수대겁단손실객관부권개변료풍험편호인위급정적수의성;사시모형득도적최우투기보치비솔유투궤수구화순투보수구량부분조성,반영투기보치자적진실수구。
By using Geometric Spectral Measure of Risk to control the extreme losses of portfolio,the optimal hedging model based on Geometric spectral measure of risk is built.The innovations and characteristics are as follows： firstly,traditional hedging ratio,minimum variance hedging ratio and VaR hedging ratio are only special examples of this model.Secondly,larger weights are distributed to larger extreme losses by the function of the risk aversion,which controls the risk of extreme losses.This function of risk aversion fits the investors＇ risk aversion characters.Thirdly,objective weights were given to the extreme losses which avoid personal choices.Fourthly,the optimal hedging ratio of the model was composed of speculative demand and hedging demand,which reflect the real need of the hedging.