- 學位論文
期貨避險投資組合中期貨操作之研究
Strategies of Futures Market Manipulation under Hedging Consideration
摘要
摘 要 金融市場之自由化、國際化、多元化已為大勢之所趨，讓投資人在投資時，有更多的投資工具可以選擇。因此，可以藉著衍生性金融商品市場來降低風險，也是投資人主要避險管道，而期貨市場是廣為大眾所利用的避險市場。所以股票搭配期貨的投資組合不但增加投資組合的靈活度也可以增加投資者的利潤。 在本研究中，我們擁有的投資組合是搭配賣空一口股價指數期貨的投資組合，我們可運用進出期貨市場的觀念，以獲得更高的利潤，第三章則描述故本研究進出期貨市場的兩個策略為1.運用完美市場持有模式的基本套利概念並且考慮現貨和投資組合的關係，故由資本資產定價模式( CAPM )可估計投資組合和現貨市場的風險關係，以探討進出期貨市場的原則。2.若投資組合收益大於零的機率大於給定某個機率值，並且投資組合加上期貨的總損失的機率大於某個給定機率值時，投資者將可選擇在期貨市場提前平倉。平倉原先賣空一口期貨之後，投資者只擁有投資組合，若投資組合損失大於零的機率大於給定某個機率值，並且投資組合在現貨市場的損失加上期貨的總利潤的機率大於某個給定機率值時，投資者將可選擇賣空一口期貨避險。 第四章，以過去歷史資料評估策略I與策略II的績效表現，並且與大盤做比較，從績效結果發現策略II比策略I來得出色。
並列摘要
Abstract The liberalization and internationalization of the money market have become the trend of the times. The investors have more chances to choose the tools when they make their investments. But, how the investors choose the best portfolio and gain the most profits with the acceptant risk is the topic of discussion concerned by each investor. To this part, financial engineers can use some relative tools as their method of analysis, such as statistical analysis, mathematical planning and simulation, which are provided by the operation research. Therefore, the derivative finance commodity markets can reduce these risks. One of them is the futures market. Stock index futures contracts are not only a hedge tool but also an investment tool just like stocks. The portfolio which combines stocks and the contract of stock index futures will become more flexible and help investor to gain the profit. Therefore, these portfolios have lower level of risk in the market. In this research, we can take a short position to hedge stocks. This belongs to the conservative portfolio. Investors can manipulate the futures market by increasing profits during the target time. We describe two strategies of futures market manipulation in chapter three. Firstly, we can use the differenced fair futures price by carrying charge model in perfect market that is lower or higher than the real futures price and consider the relationship between the portfolio and spot market by using Capital Asset Pricing Model (CAPM). Second, when the positive differenced of portfolio is bigger than a decided probability and the loss probability caused by differenced of portfolio and futures price is bigger than a decided one, investors should make the decision with early unwinding of short hedge at initial time. In the same way, when the negative differenced of portfolio is bigger than a decided probability and the profit probability caused by differenced of portfolio and futures price is bigger than a decided one, investors can choose the differenced futures price to avoid risk in futures market. So investors are adroit manipulation of futures market during the target time continuously to gain much higher positive profit is the key of this research. Finally, we tested our strategies using the historical data to observe the performance from April 2001 through June 2002.
參考文獻
延伸閱讀
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