本文選題：市場中性 + 對沖��； 參考：《對外經(jīng)濟(jì)貿(mào)易大學(xué)》2014年碩士論文

【摘要】：市場中性策略，是指將市場風(fēng)險(xiǎn)中性對沖后，通過發(fā)現(xiàn)證券市場中的定價(jià)錯(cuò)誤，采取一整套系統(tǒng)、量化的投資過程，利用相關(guān)證券間價(jià)格的相對變化賺取絕對收益的投資策略。目前國內(nèi)股票市場的中性策略產(chǎn)品多數(shù)是運(yùn)用股指期貨來做系統(tǒng)風(fēng)險(xiǎn)對沖，可運(yùn)用的對沖策略較少。 期權(quán)在風(fēng)險(xiǎn)管理、風(fēng)險(xiǎn)度量等方面具有獨(dú)特的功能和作用，可以為投資者提供更好的回避市場風(fēng)險(xiǎn)的對沖工具和獲利方法。期權(quán)的希臘值就是這樣一套風(fēng)險(xiǎn)管理工具，，是量化期權(quán)頭寸各種風(fēng)險(xiǎn)因素的一種指標(biāo)。通過希臘值，可以動(dòng)態(tài)管理市場中的各種風(fēng)險(xiǎn)敞口，并根據(jù)對價(jià)格變動(dòng)方向或價(jià)格波動(dòng)率的預(yù)期構(gòu)造出各種各樣的期權(quán)策略。 本文在分析了影響期權(quán)中性對沖主要因素的基礎(chǔ)上，提出了一個(gè)新型的投資策略思想，并通過實(shí)證檢驗(yàn)的方法探討了該策略在不同市場時(shí)期，不同約束條件下的收益表現(xiàn)。希望通過這樣的研究，可以對將來的期權(quán)投資具有一定的現(xiàn)實(shí)探索意義，為未來的發(fā)展方式和管理方式的改善提供現(xiàn)實(shí)依據(jù)。
[Abstract]:Market neutral strategy refers to the investment strategy which takes advantage of the relative change of the relative price of the related securities to earn absolute income by detecting the wrong pricing in the securities market and adopting a whole set of system and quantitative investment process after hedging the market risk neutral.At present, most neutral strategy products in domestic stock market use stock index futures to hedge systematic risk, but few hedging strategies can be used.Options have unique functions and functions in risk management and risk measurement, which can provide investors with better hedging tools and profit methods to avoid market risks.The Greek value of options is such a set of risk management tools, is a quantitative option position of a variety of risk factors.Through the Greek value, we can dynamically manage all kinds of exposures in the market, and construct various options strategies according to the direction of price change or the expectation of price volatility.Based on the analysis of the main factors affecting the neutral hedging of options, this paper puts forward a new investment strategy idea, and discusses the performance of the strategy under different market periods and constraints through empirical tests.It is hoped that this study will be of practical significance to the future option investment and provide a realistic basis for the improvement of the future development and management mode.
【學(xué)位授予單位】：對外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F724.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 韓立巖;魏潔;段康瑞;;股指期權(quán)對股指期貨的促進(jìn)作用:來自韓國的證據(jù)[J];國際金融研究;2009年03期

2 曾長興;;對沖基金、對沖策略以及市場中性[J];南方金融;2012年01期

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