本文選題：保險資金資產(chǎn)管理 + 股指期貨�。� 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：由于缺乏做空機(jī)制，保險資金多年來飽受A股市場動蕩的困擾。在其即將獲批進(jìn)入股指期貨市場之際，本文擬根據(jù)其現(xiàn)實需要，重點對保險資產(chǎn)管理公司運用股指期貨進(jìn)行套期保值的相關(guān)重點內(nèi)容進(jìn)行研究，為其提供一個框架性的策略解決方案。 本文首先介紹了股指期貨的發(fā)展背景和特點功能，分析保險資金進(jìn)行套期保值的必要性，同時闡述了套期保值比率的估計模型和績效評估方法；然后，針對α策略對股指期貨套期保值進(jìn)行實證研究，分別采用OLS、BVAR和GARCH模型計算最優(yōu)套保比率，，同時引入套保比率調(diào)整時間窗口的情景分析，檢驗在不同模型和不同調(diào)整頻率下的套期保值效果；其次，本文對擇時套保策略和定增股票套保策略分別進(jìn)行了實證研究，對其套保效果進(jìn)行了分析評估；再次，針對套期保值中的基差、資金和展期等重點風(fēng)險進(jìn)行了分析，提出了管理建議；最后，鑒于保險資產(chǎn)管理公司即將獲批籌建基金公司，對股指期貨在其產(chǎn)品創(chuàng)新方面的運用進(jìn)行了延伸性的闡述。 本文得到的主要結(jié)論是：運用股指期貨進(jìn)行α套�？梢燥@著地降低組合收益率的波動，OLS、BVAR和GARCH三種模型的選擇對于套保效果影響不大，但套保比率調(diào)整的時間窗口對于套保效果有較大的影響；此外，基于動量和均線的擇時套保策略和基于折價的定增套保策略均有較好的效果；最后，股指期貨的α/β分離策略在保險資產(chǎn)管理公司即將面臨的基金產(chǎn)品開發(fā)中具有廣闊的運用空間。
[Abstract]:As a result of the lack of short-selling mechanism, insurance funds have suffered from the A-share market turmoil for many years. When it is about to be approved to enter the stock index futures market, according to its practical needs, this paper focuses on the relevant key contents of the insurance asset management companies using stock index futures to hedge. Provide a framework strategy solution for it. This paper first introduces the development background and characteristic function of stock index futures, analyzes the necessity of hedging of insurance funds, at the same time expounds the estimation model and performance evaluation method of hedge ratio. Based on the empirical study on the hedging of stock index futures with 偽 strategy, the optimal hedging ratio is calculated by using OLSS-BVAR and GARCH models, and the scenario analysis of adjusting time window of hedging ratio is introduced at the same time. Test the hedging effect under different models and different adjustment frequency. Secondly, this paper carries on the empirical research to the timing hedging strategy and the fixed increase stock hedging strategy, and analyzes and evaluates the hedging effect. This paper analyzes the key risks of hedging, such as base difference, capital and extension, and puts forward some management suggestions. Finally, in view of the fact that the insurance asset management company is about to be approved to set up a fund company, The application of stock index futures in product innovation is expounded. The main conclusions of this paper are as follows: using stock index futures to carry out 偽 hedging can significantly reduce the volatility of portfolio return. The choice of OLSS-BVAR and GARCH models has little effect on the effect of hedging. But the time window of arbitrage ratio adjustment has a great influence on the hedging effect. In addition, both the momentum and mean line based timing strategy and the fixed increase hedging strategy based on discount have good effect. Finally, The 偽 / 尾 separation strategy of the stock index futures has broad application space in the fund product development that the insurance asset management company will soon face.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F842.3;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 盧卓;;基于計量模型的滬深300股指期貨最優(yōu)對沖比率及效果研究[J];經(jīng)濟(jì)研究導(dǎo)刊;2013年02期

2 吳駿;;滬深300股指期貨最優(yōu)套期保值績效研究[J];時代金融;2012年12期

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