Study On Options Strategies To Deal With Systematic Risk Of Stock Portfolio

The systematic risk management of stock portfolio is a hot issue under the background of high systematic risk in Chinese stock market.The sse 50 ETF has provided a new tool for the systematic risk management of stock portfolio.How to use this new financial derivative tool to avoid the systematic risk of stock portfolio while retaining the investment income of stock portfolio has become a problem that institutional investors pay close attention to.This paper studies the systematic risk of stock portfolio and how to manage the systematic risk of stock portfolio through comparative analysis,econometric model analysis and case analysis.According to the features of option risk aversion,retained earnings,this paper chose the Shanghai 50 ETF put options as the tool of A portfolio management of systemic risk,and selecting the representative of A stock market-hua an equity portfolio products in Shanghai,the leading ETF funds as the research object,through to join the put option portfolio risks and benefits before and after the relationship between research,to reveal options strategies can reduce the systemic risk of stock portfolio while preserving the stock portfolio returns.Based on the put option product of sse 50 ETF,this paper designs three schemes to hedge the systematic risk of hua 'an sse leading ETF fund,including dynamic delta2%interval hedging scheme,OLS static hedging scheme and GARCH dynamic hedging scheme.The results show that the dynamic Delta2% range hedging scheme can achieve an average hedging gain of 10.4582 million yuan,but there is an 18.29%probability of a loss of 2.0863 million yuan.OLS static hedging scheme can achieve an average hedging profit of 13.33 million yuan,but there is a 20.73% probability of a loss of 1.032 million yuan.The implementation of the GARCH dynamic hedging scheme can achieve an average hedging gain of 12.9896 million yuan,but there is a3.66% probability of a loss of 13,800 yuan.Therefore,this paper believes that OLS static hedging scheme is suitable for people with risk preference,because the maximum hedging profit can be obtained by using this scheme for risk hedging.The GARCH dynamic hedging scheme is suitable for risk aversion because the probability of loss is the lowest when the scheme is used for risk hedging.The dynamic delta 2% range hedging scheme is the least efficient one,because its average hedging return is less than OLS static hedging scheme and GARCH dynamic hedging scheme,but its loss is higher than OLS static hedging scheme and GARCH dynamic hedging scheme when it loses money.Therefore,rational investors will not choose this scheme.