Review of Financial Studies, March 2015, v. 28, iss. 3, pp. 743-90

動态套期保值和極端資産聯動性

作者：Redouane Elkamhi（Universite du Luxembourg - School of Finance）

Denitsa Stefanova （University of Toronto - Rotman School of Management）

摘要：本文研究在市場低迷時期，資産聯動性的提高對資産組合配置效果的影響。我們為股價運作建立了一個模型，該模型允許在極端收益實現之間存在增強且非對稱相關關系。在分離了由極端聯動性産生的資産組合對沖需求後，發現持有組合顯著地向無風險資産偏移。研究表明，在進行資産組合配置決策時，對極端事件相關性的考量能夠産生巨大的經濟收益，該收益主要源于跨期對沖動機。這些結論在極端聯動性和條件相關性的任一模型假設中具有穩健性。

Dynamic Hedging and Extreme Asset Co-movements

Redouane Elkamhi (Universite du Luxembourg - School of Finance), Denitsa Stefanova (University of Toronto - Rotman School of Management)

ABSTRACT

The paper investigates the portfolio allocation effects of increased asset co-movements during market downturns. We develop a model for the stock price process that allows for increased and asymmetric dependence between extreme return realizations. We isolate the portfolio hedging demands that arise due to extreme co-movements and find a substantial shift of the portfolio holdings toward the risk-free asset. We demonstrate that accounting for dependence between extreme events in portfolio decisions leads to significant economic gains that stem primarily from intertemporal hedging motives. These findings are robust along alternative modeling assumptions of extreme co-movements and conditional correlation.

原文鍊接：

http://rfs.oxfordjournals.org/content/28/3/743.abstract

翻譯：黃怡文