求教-如何理解最小方差对冲

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

求教-如何理解最小方差对冲？

minimum variance hedge...

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享1 收藏1 回帖

关键词：如何理解 variance minimum varian hedge minimum 如何

同问

The purpose of doing hedge is to reduce the risk ( variance) of the portfolio. What you do is to find a hedge ratio to let the portfolio's variance reaches the minimum level. This is the basic idea of the minimum variance hedge.

谢谢您的解答，以下是我的第二个问题。


我发现，最小方差hedge有不对称性。

要hedge 3张的股指期货，需要41张螺纹钢。
合约头寸：220万多头股指，147万螺纹空头。

要hedge41张螺纹钢，需要3*rou square=1张股指期货就可以了。
合约头寸：147万螺纹空头，73万多头股指。


为什么会这样？

以上的数字是根据最小方差hedge计算出的ratio。

螺纹钢的标准差=1.24，股指期货的标准差=1.396，相关系数rou=0.6

达尔 发表于 2013-5-3 13:30
螺纹钢的标准差=1.24，股指期货的标准差=1.396，相关系数rou=0.6

I am glad you notice that.

I don't need to give mathematical derivation, since this is not a good "explanation".

Intuitively, the hedge ratio we get can be written in to two parts. rho*(sigma(x)/sigma(y)). We see that what we actually hedge is the rho and the volatility ratio. So whatever you do, say use x to hedge y or use y to hedge x, rho is always the same (you do not need to change your position to hedge that since you have already done that), the thing changes is the volatility ratio. This is a reason why it is not a exact inverse. Since only a part of the hedge ratio need to be adjusted.

hope help~

i see your point，thank you