Research On Content Improvement Of The Futures Hedging Model On The Downside-risk Minimization Perspective

This thesis first makes a comprehensive analysis of literatures within home and abroad,then select the downside risk that matches the psychology of investors the most as the risk measurement tools.Researching the optimal hedging ratio,and creatively introduces the influence that stock market quotation and hedging period have on the optimal hedging ratio,so as to have a further study on futures hedge ratio model.This thesis takes the CSI 300 index cash and futures as the research object,and divides data into three intervals according to the trend of price changes,i.e.rise in price,smooth and steady,recession in price.Also,this thesis estimate futures optimal hedging ratio as a whole,as well as where LPM is minimized according to price trend,and its influencing factors.In the end,the optimal hedging ratio estimated above is compared with that had a minimum variance or where single LPM is minimized.Then,this thesis introduces hedging period to expand the model,and uses wavelet analysis to decompose sequence,and according to the analyzed statistical characteristics of the wavelet coefficients of each layer,LPM is calculated using various parametric estimation method,and multi-scale hedge ratio is confirmed.In the end,the LPM calculated above is compared with that calculated using nonparametric kernel estimation method.Finally,this thesis comes to the following conclusions: 1)There is a significant difference between the LPM minimized hedging ratios under different price trends.In order to effectively reduce the risk of hedging portfolio,an appropriate hedging ratio needs to be chosen by the hedger,considering the stock market quotation,target yield and the degree of risk aversion.2)In CSI 300 stock index futures market,the hedging efficiency of multi-scale hedge ratio,which is determined by nonparametric kernel estimation,is significantly lower than that determined by parametric estimation according to sequence distribution characteristics.3)With the goal of minimizing the LPM,the hedging period,the degree of risk aversion and the target return can have a significant effect on various scales of hedging ratio as well as its effectiveness.