嵌入前景理论的动态风险厌恶套期保值比率模型研究

本文从前景理论视角出发,并考虑风险厌恶的动态性,推导出了嵌入前景理论的动态风险厌恶套期保值比率计算公式.然后以2004年8月20日至2010年6月4日的铜现货与期货交易均价为样本进行实证分析.实证结果表明:空头套保者与多头套保者的风险厌恶水平是不同的,而且在不同市场环境下的风险厌恶水平也不同；不同市场环境和动态风险厌恶对套期保值比率来说是很重要的影响因素,在计算套期保值比率时我们有必要把它们考虑进来.

A Study of Prospect-Theory-Embedded Dynamic Risk Aversion Hedge Ratio Model

One of the important functions of futures markets is to avoid price risks through hedge.How to determine the optimal hedge ratio in hedge operation is the core technical problem.The hedge ratio refers to the ratio of size of futures contractual position held by hedgers to the size of corresponding risk-exposed spot assets.The traditional minimum variance hedge ratio theory is based on the assumption that investors are rational investors who only consider reducing risks.The theory does not consider hedgers’ risk aversion level or the profit they expect and the assumption of rational investor is not true in real life. Previous research of hedge funds does not have a classification of hedgers’ nature because they do not distinguish short hedgers from long hedgers.In the concept of commodity futures hedge,short hedgers refer to producers who worry about the fall of raw material’s price.In contrast,long hedgers refer to buyers of raw material,who worry about the rise of raw material’s price.Therefore,short hedgers are inverse of long hedgers with regard to their opinions on the changes of the same commodity futures.With different opinions about price changes,hedgers enter the futures market with different goals,which results in different hedge strategies executed in bear and bull markets.Hedgers play different roles in copper market;hence,on the premise of classifying the markets into bear and bull markets,we have reason to discuss the hedgers by category. Following the prospect theory,the thesis adds the important element of risk aversion to the decision criteria to maximize the utility value and develop the dynamic risk aversion hedge ratio formula that are embedded in the prospect theory.This study conducts an empirical analysis of the sample of the average prices of copper spot and futures traded between August 20,2004 and June 4,2010.First,the market is divided into bear and bull markets,and the hedgers are divided into short hedgers and long hedgers.Their corresponding dynamic risk aversion coefficients are calculated.Thirdly,the minimum variance of hedge ratio and the dynamic risk aversion of hedge ratio for these two kinds of hedges are calculated in different market conditions.Finally,this paper compares the two ratios from the perspective of hedge effectiveness and utility maximization respectively in order to provide the hedgers with the optimal hedge strategies according to their individual needs.The results of empirical analysis show that the levels of risk aversion are different between short hedgers and long hedgers,and risk aversion varies in different market conditions.Different market conditions and dynamic risk aversion are two important factors in the hedge ratio,which should be taken into account in the calculation of hedge ratios.