股權指數連結型商品之投資避險策略

Optimal Hedging Strategy of Equity-Linked Products

10.6545/JFS.2009.17(1).3

黃弘智(Hong-Chih Huang)

多期最佳資產配置 ； 動態避險 ； 倒推法 ； multi-period asset allocation ； dynamic hedging ； hackward method

財務金融學刊

17卷1期（2009 / 03 / 31）

75 - 106

繁體中文

近年來資產負債管理越來越受到重視，資產配置的重要性更是日益提升。傳統上，資產配置的相關文獻多為探討單一期間的配置問題，當投資計畫為長期性負債的避險策略時，如果將未來十年、二十年都視為一個期間而採用相同的投資組合，並不是一個適當的投資策略。本文根據風險極小化避險法則，針對股權連結型商品等長期性負債，採用倒推法，建構多期最適資產配置的模型，成功的求出多期動態投資避險的理論公式。研究結果發現，最佳資產的選擇須符合最類似負債現金流量的性質，然而多期最佳資產配置，則以維持一個最佳風險水準為主要考量。

Recently, Asset liability management gains more attentions. Asset allocation has become a critical issue in financial institution. Conventionally, literatures of portfolio selections mainly focus on the issue of single-period. However, it is not appropriate to hedge a long-term liability by the means of single-period investment strategy. The main purpose of this paper is to find optimal multi-period dynamic hedging strategies which minimize the riskiness of the investment portfolio relative to the equity-linked liability. Theoretical optimal solution is obtained by the backward method of risk-minimizing hedging strategy. This paper finds that matching is concerned with the selection of assets which most closely resemble the liability cash flows whereas multi-period optimal asset allocation is concerned with selection of assets which attain an optimal level of risk.

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