Riskiness之應用:遠期外匯契約之避險比率

Application of riskiness on spot-forwards hedge ratio

張淳博(Chun-Po Chang)

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/碩士(2015年)

https://doi.org/10.6342/NTU.2015.02808

摘要

根據Yi-Ting Chen、Keng-Yu Ho、Larry Y. Tzeng (2014)發表的Riskiness-minimizing spot-futures hedge ratio，進一步探討新的績效衡量指標之最適避險比率；其中使用的風險指標為Aumman與Serrano (2008)提出的Riskiness，此指標隨機優越的特質，改善傳統風險指標如標準差、變異數、夏普指標等不足之處。
本論文將最小化Riskiness與極大化新的績效衡量指標兩種方法，應用到美元兌新臺幣的傳統遠期外匯市場和無本金交割遠期外匯市場，分析兩者與最小變異數法與極大化夏普指標所決定的最適避險比率之差異。研究期間從2000年至2014年歷經多次總經情勢變化、匯率波動，以增強研究結果的可信度。研究結果顯示利用最小化Riskiness方法所得出的最適避險比率較最小變異數法來得小，且受風險趨避程度低的投資者喜愛，與理論結果一致；另一方面，新的績效衡量指標之最適避險比率在應用上與夏普指標有著不同的結果。

關鍵字

夏普指標 ； 傳統遠期外匯 ； 無本金交割遠期外匯 ； 最適避險比率 ； 績效衡量指標

並列摘要

This study investigates the effect of a new spot-futures hedging ratio method proposed by Yi-Ting Chen, Keng-Yu Ho, and Larry Y. Tzeng (2014), and that of a new performance measurement based on Sharpe ratio. These methods determine the optimal hedge ratio by minimizing the riskiness of hedged portfolio returns and maximizing the new performance ratio respectively, where the riskiness is measured by the index of Aumann and Serrano (2008). The riskiness index employed in these methods satisfies monotonicity with respect to stochastic dominance, unlike the risk measurements widely used in the literature. Also, I provide empirical examples of deliverable forward exchange and non-deliverable forward exchange to demonstrate and test both optimal hedge ratios. The chosen sample is from 2000 to 2014. The empirical result is consistent with theoretical properties except for the optimal hedge ratio from the new performance measurement.

並列關鍵字

Riskiness ； Sharpe Ratio ； Deliverable Forward ； Non-Deliverable Forward ； Optimal Hedge Ratio ； Performance Measurement

參考文獻

Aumann, R. J., & Serrano, R. (2008). An economic index of riskiness. Journal of Political Economy, 116(5), 810-836.

Foster, D. P., & Hart, S. (2009). An operational measure of riskiness. Journal of Political Economy, 117(5), 785-814.

Schreiber, A. (2012). An economic index of relative riskiness. Available at SSRN 1988211.

Schnytzer, A., & Westreich, S. (2013). A global index of riskiness. Economics Letters, 118(3), 493-496.

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