MANAGEMENT SCIENCE · VOL. 61, NO. 12 · DECEMBER 2015

期貨對沖：存在策略可以打敗Na?ve對沖策略嗎？

作者：Yudong Wang (Shanghai Jiao Tong University, Antai College of Economics and Management)， Chongfeng Wu (Shanghai Jiao Tong University, Antai College of Economics and Management), Li Yang (University of New South Wales , School of Banking and Finance)

摘要：本文研究了Na?ve對沖策略相對于最小方差對沖策略的樣本外業績表現，其中協方差參數是從18個經濟計量模型估計所得。對沖業績表現在24個期貨市場進行對比。本文主要研究結果表明，很難找到一個在最小方差框架下的策略，一直并且顯著地優于Na?ve對沖策略。研究結果在不同的樣本期都是穩健的，估計窗口和對沖期限可以部分解釋估計誤差和模型誤差的影響。

關鍵詞：期貨對沖；Na?ve策略；最小方差對沖比率；估計誤差；模型誤差

Hedging with Futures: Does Anything Beat the Na?ve Hedging Strategy?

Yudong Wang (Shanghai Jiao Tong University, Antai College of Economics and Management)， Chongfeng Wu (Shanghai Jiao Tong University, Antai College of Economics and Management), Li Yang (University of New South Wales , School of Banking and Finance)

ABSTRACT

This paper investigates out-of-sample performance of the na?ve hedging strategy relative to that of the minimum variance hedging strategy, in which the covariance parameters are estimated from 18 econometric models. Hedging performance is compared across 24 futures markets. Our main findings suggest that it is difficult to find a strategy under the minimum variance framework that outperforms the na?ve hedging strategy both consistently and significantly. Our findings are robust to different sample periods, estimation windows, and hedging horizons and can be partly explained by the effects of estimation error and model misspecification.

Keywords: hedging with futures; na?ve strategy; minimum variance hedge ratios; estimation error; model misspecification

原文鍊接：https://www.researchgate.net/publication/273286678_Hedging_with_Futures_Does_Anything_Beat_the_Naive_Hedging_Strategy

翻譯：景薇