Study On The Models And Optimal Methods Of Hedging Portfolio Selection Under Realistic Restrictions

With the greater and greater fluctuations in the interest rate and exchange rate,the relaxation of the financial regulation,and development of finance freedom,the financial markets have shown unparalleled volatility,and enterprises and financial institutions have faced more and more financial risks since 1970s.On one hand,the rapid development of financial derivatives and financial engineering enriches the content of financial risk management significantly.On the other hand,it increases the complexity of financial risk greatly.Financial risks have a matchlessly broad and complicated influence on the existence and development of enterprises and financial institutions,and threaten the stability of nation-wide and even world-wide finance and economy.Therefore,the ability of managing financial risk becomes one of core edges for enterprises,financial institutions and nations.Hedging is one of the most important technologies of managing financial risk.The developments in the theories and methods of hedging are very important for managing financial risks efficiently.As a common rule,the classical hedging theories and methods calculate the optimal hedging ratio based on a portfolio including a hedged asset and certain hedging instruments,and don't consider risky elements of hedging and hedger's realistic requirements during the course of hedging.This methodology doesn't reflect the essence of portfolio selection theory.The dissertation in depth analyzes the inner relationship between hedging and risk diversification, finds out that the relevance among prices or returns of different assets is the common basis for hedging and portfolio selection,and presents the notion of hedging portfolio selection referring to portfolio selection theory,which means that hedgers choose optimal hedging portfolio from a set of feasible hedging tools considering risky elements and hedger's real requirements during the course of hedging.In contrast to the classical hedging,we call the methodology of hedging above as hedging portfolio selection considering realistic restrictions.The dissertation classifies hedging portfolio selection problems into three categories based on three sorts of basic hedging instruments,i.e.short positions of securities,future contracts,and European options,establishes many hedging portfolio selection models respectively according to the classification,and presents efficient calculating steps of pivoting algorithm to solve most of the models.The dissertation is divided into seven parts.The first part introduces the research background,research goal,research content,and research methods.The second part studies the theoretical basis of hedging portfolio selection,analyzes the inner relationship between hedging and risk diversification,and deduces the mathematical relationship between the optimal hedging ratio of minimum variance hedging portfolio selection and the coefficients among prices or returns of different assets.The third part analyzes the general characteristics of hedging portfolio selection problem, points out that the typical hedging portfolio selection problems usually include upper and lower bounds for decision variables and constraints,improves the theory ot pivoting algorithm which solves the upper and lower bounds efficiently,and introduces parametric technology to pivoting algorithm to calculate the efficient frontier of hedging portfolio.The fourth part establishes security portfolio selection models considering and not considering the restricted short selling respectively, calculates and analyzes the efficient frontiers of the two kinds of models,and finds out that short positions in securities have significant hedging effect under the condition that investors don't pursue too high return.The fifth part sets up many future hedging portfolio selection models including the realistic restrictions such as transaction costs,minimum transaction unit,capital demand,and huge loss risk under the premise of one kind of cash asset,establishes the rebalancing models of hedging portfolio selection problems and the hedging portfolio model under the condition of a few kinds of cash assets.The sixth part pays most attention to one period option hedging portfolio selection models considering different goal functions,and carries out initial researches into discrete option hedging portfolio selection models and optioned portfolio selection models.The final part summarizes the whole dissertation and discusses the future research plans.