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博碩士論文 etd-0629109-085849 詳細資訊
Title page for etd-0629109-085849
論文名稱
Title
波動度動態避險策略應用於基金建構
Volatility Alpha Fund
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
64
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-06-09
繳交日期
Date of Submission
2009-06-29
關鍵字
Keywords
波動差、選擇權、動態避險
option, Volatility Alpha, Dynamic Hedging
統計
Statistics
本論文已被瀏覽 5805 次,被下載 2456
The thesis/dissertation has been browsed 5805 times, has been downloaded 2456 times.
中文摘要
本研究運用動態避險複製選擇權的概念,基於個股波動率大於指數波動率以及指數與個股走勢相依的物理原理,一一複製個股的short put option(賣權空部位),並複製指數的long put option(賣權多方部位)。個股賣權空部位在short Gamma 的情況之下將逐日產生相關避險收益,指數賣權多方部位在long Gamma 的情況之下則會產生避險成本。期望滿足投資人投資風險較主動式投資組合管理基金低,報酬較其穩定且不隨指數報酬而下跌,並達到風險低、獲利穩定的策略目標。
本文首先透過標的資產價格的模擬,套入此long-short 策略,結果發現由於策略不為套利,因此其期望報酬相當接近零。並且個股間相關係數與策略報酬波動呈反比:當成分股間相關係數高時,個股平均波動與指數波動差距小,因而策略報酬波動小,反之,則策略報酬波動大。最後,當個股股價走勢與指數有所偏離時,此為造成策略虧損的主要原因。
以台灣五十指數及其成分股為研究對象發現,若能去除較易與指數走勢偏離的小型股,則策略報酬將較利用所有成分股模擬更佳。當考慮大小型股走勢、個股波動率與技術指標的訊號判斷,在個股走勢偏離時加入short strip 策略,實證發現其有助於策略報酬的改善。由報酬分析顯示,當大小型股與指數走勢齊漲時,若成分股數下跌的比例不超過35%,動態避險策略皆會有正的報酬;當大小型股與指數走勢齊跌時,策略皆會有正的報酬。
最後以台灣中型100 指數及其成分股為研究對象,利用beta 挑選與指數連動性強且走勢相近的成分股,並以歷史波動率同時挑選波動較大的成分股,進行動態避險策略的分析。結果發現,若能從成分股中挑選出波動率較大的成分股,可提高動態避險的避險溢酬;挑選beta 值相對較大的成分股,可加強成分股與指數的連動性,使其成分股走勢較不易與指數有所偏離。因此,相較於只挑選較大型權值股作為投組成分股的篩選策略,同時考量與指數的連動性及波動率將有助於動態避險策略績效的改善。
Abstract
We use dynamic hedging to replicate the short put positions of common stocks and thelong put positions of equity index. The strategy is developed based on the fact that the volatility of average constituent stocks is greater than that of the index, and the aggregate
movement of the constituent stocks becomes the movement of the index. Therefore, we expect the long-short volatility strategy to deliver stable returns.
In this study, we first employ Monte Carlo simulation methods to create paths for the underlying securities and the corresponding index. Then, we use Black-Scholes delta-neutral
dynamic hedging strategy to create synthetic options for the long-short put positions.Specifically, we conduct the dynamic replication strategy to form long put option of TSEC Taiwan 50 equity index and short options of its constituent stocks.
Finally, we pick the TSECTaiwan Mid-Cap 100 Index and replicate the long-short volatility strategy again. This time the target constituents screening criteria are high beta and high historical volatility.
The empirical studies show that: (1) The correlation coefficients between stock pairs are reciprocally related to the standard deviations of strategy returns. (2) The main source of losses is performance deviation of the price of small-sized stocks and the index. (3) The return of the strategy for portfolios excluding small cap stocks will be improved. (4) The loss will decline if we apply short strip strategy on those stocks which prices perform worse than the index. (5) The higher the volatility of the stocks we select, the greater the dynamic hedging premium we can get. (6) If we pick the high beta stocks to avoid the trend of stock
prices diverging from the index, then the strategy yields higher returns.
目次 Table of Contents
第一章 緒論 ........................................................................................................................... 1
第一節 研究背景與動機 ................................................................................................... 1
第二節 研究目的 ............................................................................................................... 2
第二章 相關理論與文獻探討 ............................................................................................... 5
第一節 選擇權之評價模式 ............................................................................................... 5
第二節 不完美市場存在對避險成本的影響問題 ........................................................... 7
第三節 利用證券的買賣複製選擇權 ............................................................................. 13
第三章 實證方法 ................................................................................................................. 15
第一節 研究對象與資料描述 ......................................................................................... 15
第二節 研究方法 ............................................................................................................. 19
第三節 投組建構策略 ..................................................................................................... 27
第四章 實證分析 ................................................................................................................. 35
第一節 利用蒙地卡羅模擬股價的動態避險分析 ......................................................... 35
第二節 台灣50 指數及其成分股 ................................................................................... 35
第三節 台灣中型100 與其成分股 ................................................................................. 49
第五章 結論與建議 ............................................................................................................. 52
參考文獻 ................................................................................................................................ 56
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