人民币外汇期权套保策略:基于随机规划模型

摘要

This paper proposes a multi-stage stochastic programming model for optimal currency risk hedging strategy in FX options with comprehensive risk management. In our analysis, the comprehensive risk management can be achieved by overall control on all Greek letters and can be adjusted by post-optimality analysis to suit the needs of the market change based on fine-designed scenario trees. We also address the debate about the comparative effectiveness between forwards and options. Extensive empirical analyses show that the judicious selection of option trading strategies with suitable payoff patterns can obtain higher portfolio returns than that of forwards. We also show that our approach with comprehensive risk management could improve hedge performances considerably compared to traditional hedging strategies while achieving efficient risk control and adjustment.%本文建立了基于离散情景树的国际资产配置多阶段随机规划模型,形成了包含整体风险控制和后验优化风险再调整的外汇期权组合风险综合管理机制；在此基础上系统研究了人民币外汇期权的套保价值及最优套保策略,并与外汇远期的套保效果进行了比较.实证研究表明,根据本文模型确定的最优策略,人民币外汇期权组合对冲汇率风险的效果显著优于外汇远期,能够有效降低财富损失并提升盈利空间；通过综合管理外汇期权组合风险头寸,套保组合在不确定环境中的风险应对能力得到显著改善,由此实现盈利能力和风险控制的有效匹配.