一般化經濟績效指標之期貨避險方法

Generalized Economic Performance-Maximizing Spot-Futures Hedge Method

楊仁維(Jen-Wei Yang)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/博士(2016年)

https://doi.org/10.6342/NTU201603229

摘要

本文首先提出一個新的績效指標，稱為一般化經濟績效指標。此指標定義為超額報酬之平均數除以經濟風險指標的 次方。其中，經濟風險指標是由Aumann and Serrano (2008)所提出，且 值被稱為平均數-經濟風險指標係數。當 值等於1，此一般化經濟績效指標等同於Homm and Pigorsch (2012)所提出的經濟績效指標。再者，藉由極大化現貨與期貨的投資組合超額報酬的一般化經濟績效指標，提出一個新的最佳期貨避險比率。在給定某一 值下，此新的期貨避險方法保證沒有其他投資組合會二階隨機優勢於最佳的投資組合。當 值趨近於無窮大，此新的期貨避險比率等同於Chen et al. (2014)所提出的經濟風險指標極小化的期貨避險比率。實證結果指出最佳投資組合之超額報酬的平均數與經濟風險指標會同時伴隨著 值的降低而增加。此滿足所謂的高風險會帶來高報酬的財務特性。最後，本文闡述Homm and Pigorsch (2012)所提出的經濟績效指標並不適合去決定最佳期貨避險比率，因其最佳期貨避險比率不一定存在。

關鍵字

期貨避險 ； 績效指標 ； 最佳避險比率 ； 期望報酬與風險抵換 ； 隨機優勢

並列摘要

This paper proposes a new spot-futures hedge method that the optimal hedge ratio is determined by maximizing a new performance measure of the hedge portfolio excess return. This new performance measure is constructed by combining the mean with the economic measure of riskiness of excess return through a mean-riskiness coefficient, where the economic measure of riskiness is proposed by Aumann and Serrano (2008). This new performance measure generalizes the economic performance measure proposed by Homm and Pigorsch (2012). Furthermore, this new performance-maximizing hedge method guarantees that, given a mean-riskiness coefficient, no other portfolio exhibits a second-order stochastic dominance over the optimal portfolio, and the optimal hedge ratio generalizes the riskiness-minimizing hedge ratio proposed by Chen et al. (2014). The empirical results show that a lower mean-riskiness coefficient produces both the higher mean and economic measure of riskiness of a hedge portfolio excess return. This implies that this hedge method satisfies the mean-risk tradeoff property. Finally, this paper demonstrates that the economic performance measure is not suitable for determining the spot-futures hedge ratio because its optimal hedge ratio does not always exist.

並列關鍵字

Spot-future hedge ； Performance measure ； Optimal hedge ratio ； Mean-risk tradeoff ； Stochastic dominances

參考文獻

[1] Aumann, R.J., Serrano, R., 2008. An economic measure of riskiness. Journal of Political Economy 116, 810-836.

[2] Brooks, C., Černý, A., Miffre, J., 2012. Optimal hedging with higher moments. Journal of Futures Markets 32, 909-944.

[3] Brooks, C., Henry, O.T., Persand, G., 2002. The Effect of Asymmetries on Optimal Hedge Ratios. The Journal of Business 75, 333-352.

[4] Chen, S.-S., Lee, C.-F., Shrestha, K., 2001. On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio. Journal of Futures Markets 21, 581-598.

[6] Chen, Y.-T., Ho, K.-Y., Tzeng, L.Y., 2014. Riskiness-minimizing spot-futures hedge ratio. Journal of Banking & Finance 40, 154-164.