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

动态套期保值和极端资产联动性

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

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

摘要：本文研究在市场低迷时期，资产联动性的提高对资产组合配置效果的影响。我们为股价运作建立了一个模型，该模型允许在极端收益实现之间存在增强且非对称相关关系。在分离了由极端联动性产生的资产组合对冲需求后，发现持有组合显著地向无风险资产偏移。研究表明，在进行资产组合配置决策时，对极端事件相关性的考量能够产生巨大的经济收益，该收益主要源于跨期对冲动机。这些结论在极端联动性和条件相关性的任一模型假设中具有稳健性。

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.

原文链接：

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

翻译：黄怡文