Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model

被引：0

作者：

Xu, Zijian ^{[1
]}

Shi, Benshan

Zhou, Sheng ^{[2
]}

机构：

[1] Southwest Jiaotong Univ, Emeixiaoqu Accounting Dept, Emei 610031, Sichuan, Peoples R China

[2] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu 610031, Sichuan, Peoples R China

来源：

ICMETM 2015 - INTERNATIONAL CONFERENCE ON MODERN ECONOMIC TECHNOLOGY AND MANAGEMENT | 2015年 / 17卷

关键词：

stock index future; hedging; VaR; CVaR; PROSPECT-THEORY;

D O I：

10.1051/shsconf/20151701004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Hedging function is one of the most significant functions of stock index futures, and it received extensive public attention. This article set VaR and CVaR as hedging objective function of the hedging model in China and proposed the hedging effect measurement method based on VaR and CVaR. It also used the actual data of CSI300 stock index future to calculate its hedging effect. It is found from the result that the hedging model of stock index future based on VaR and CVaR can effectively reduce the risk of portfolio, and a relatively good accumulated income rate will be obtained. By comparison, the hedging model of stock index future based on CVaR will do better in controlling the risk of portfolio, while the hedging model of stock index future based on VaR will obtain a better accumulated income rate.

引用

页数：9

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