Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts
Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts
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DOI：
10.1155/2014/843240
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发表时间：
2014-04
影响因子：
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通讯作者：
Yufang Liu;Wei-guo Zhang;Rongda Chen;Jun-Hui Fu
中科院分区：
文献类型：
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作者：
Yufang Liu;Wei-guo Zhang;Rongda Chen;Jun-Hui Fu
被动投资组合策略很难管理一个充分分散的投资组合的长期风险，因为股指期货合约的期限有限。在本文中，我们研究的问题，展期套期保值策略的长期暴露的一个良好的多元化投资组合。首先，我们考虑了当投资组合在此期间没有调整时，充分分散的投资组合的展期套期保值策略。为了获得所提出的模型的最优解，辅助模型的构造使用的等效变换技术。此外，动态规划来获得股票指数期货合约的最佳位置的长期暴露的良好分散的投资组合。此外，我们将结果推广到有交易费用的展期套期保值策略的情形，得到了股指期货合约的最优数量。
It is difficult for passive portfolio strategy to manage the long-term exposure of a well-diversified portfolio because stock index futures contracts have a finite life limited by their maturity. In this paper, we investigate the problem of the rollover hedge strategy for the long-term exposure of a well-diversified portfolio. First, we consider the rollover hedge strategy for the well-diversified portfolio when the portfolio is not adjusted during the period. In order to obtain the optimal solution of the proposed model, the auxiliary models are constructed using the equivalent transformation technique. Moreover, dynamic programming is employed to derive the optimal positions of stock index futures contracts for the long-term exposure of the well-diversified portfolio. In addition, we extend the result to the case of the rollover hedge strategy with transaction costs and derive the optimal number of stock index futures contracts.