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

期货对冲：存在策略可以打败Na?ve对冲策略吗？

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对冲策略相对于最小方差对冲策略的样本外业绩表现，其中协方差参数是从18个经济计量模型估计所得。对冲业绩表现在24个期货市场进行对比。本文主要研究结果表明，很难找到一个在最小方差框架下的策略，一直并且显著地优于Na?ve对冲策略。研究结果在不同的样本期都是稳健的，估计窗口和对冲期限可以部分解释估计误差和模型误差的影响。

关键词：期货对冲；Na?ve策略；最小方差对冲比率；估计误差；模型误差

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

原文链接：https://www.researchgate.net/publication/273286678_Hedging_with_Futures_Does_Anything_Beat_the_Naive_Hedging_Strategy

翻译：景薇