论文部分内容阅读
本文使用2013年10月至2014年8月的日度数据,运用每日Rolling的方法比较了6种不同国债期货套期保值策略的效果。本文的实证结果发现,利用“久期+凸性”方法确定的最优套期保值比例能够最大程度降低资产组合风险且成本最低;债市上行周期的套期保值效果好于下行周期;“久期+凸性”方法在非交割月的套期保值效果明显好于其他方法。
Using daily data from October 2013 to August 2014, this paper uses the daily Rolling method to compare the effects of 6 different Treasury bond futures hedging strategies. The empirical results show that using the optimal hedging ratio determined by “duration + convexity ” method can minimize the risk of portfolio and minimize the cost; the effect of the hedging of the uplink period of the bond market is better than that of the downlink period; “Duration + Convex ” method hedge effect in non-delivery month is obviously better than other methods.