不完全市场中相关性风险的对冲策略研究

随着我国资本市场的进一步完善,以及市场波动的更加剧烈,投资者对于相关性风险的关注日益增强,如何对冲相关性风险是一个亟待解决的重要课题。本文在基于跳跃的不完全市场中,以带有跳跃的价格过程为基础,引入相关性随机过程,依据期权的希腊字母对冲原理,构建相关性风险的对冲策略——卖出一份股票指数看跌期权同时买入若干份对应个股的看跌期权和若干份标的股票,使投资组合保持资产波动率以及价格跳跃风险中性,进而通过卖出组合中指数期权的相关性风险溢价来对冲个股组合的相关性风险。本文选取2007年3月到2013年3月香港恒生指数及其成份股期权的日数据用以实证分析,结果表明:该策略能够对冲个股投资组合的相关性风险,且在大部分情况下获得显著为正的收益。本文对事前构建对冲策略以规避极端事件发生时的相关性风险具有重要的参考价值。

Research on the Hedging Strategy of Correlation Risk in Incomplete Market

As the capital market of our country goes further, and the financial market fluctutes more severely, more and more investors will focus on the correlation. How to hedge correlation risk has become an important issue to be solved. In this paper, on the basis of price process with jump and the Greek letter hedge principles of options, the correlation random process is introduced and a hedging strategy of the correlation risk is built in the incomplete market with jump, which sells a share of stock index put option and buy several shares of individual stock put options and several shares of the underlying stocks at the same time, to keep both the asset price volatility risk and the jump risk neutral in the portfolio. Thus, the investor can hedge the correlation risk by selling the correlation risk premium in the portfolio. The daily data of Hong Kong Hang Seng index options is selected and its constituents from March 2007 to March 2013 as the data of empirical analysis. The empirical result shows that the hedging strategy can hedge the correlation risk between individual stocks in the investment portfolio and can get positive yield in most cases. The research in this paper has important reference value building advance correlation risk hedging strategy to avoid the influence of extreme events in financial market.