如何管理投資組合中的風險並找出最適避險比率一直以來都是投資者最關心的議題，而期貨因有著與現貨高度的相關性、流動性、低交易成本及高槓桿的特性，經常為避險者或投機者所使用之風險管理工具。本文主要在運用衡量投資人所注重的下方風險（downside risk）的LPM策略進行避險時，當投資人之風險偏好及目標報酬率變動時，最適避險比率及避險績效的變動情形，並與最小變異比率避險策略做一比較。 本文研究標的為日本日經225股價指數、澳洲ASX/SPI 200 股價指數、香港恒生股價指數、韓國KOSPI 200股價指數、印度SENSEX 30股價指數及富時馬來西亞證交所KLCI股價指數等6個亞洲主要市場之股價指數現貨與期貨。實證結果顯示： （一）在最適避險比例方面，LPM策略整體而言表現較MV策略為佳，進一步分析不同風險偏好及目標報酬之LPM策略結果，則以風險偏好中立及目標報酬率較高之策略表現最佳；研究結果亦發現LPM策略之避險比率多半會隨目標報酬增加而降低且風險中立者較風險趨避者之避險比率為小。顯示對追求高風險及高報酬的投資人而言避險策略的需求較風險趨避者相對較小。 （二）在避險績效方面，二種單位報酬風險衡量指標顯示LPM策略表現較MV策略佳，惟在LPM策略的運用上，投資人應先辨識個別對風險忍受程度及設定目標報酬後才能計算最適合的避險比率並獲得最佳避險績效；另判定係數衡量指標則為相反結果，但MV策略據實證結果大部分需要較高的避險比率。 （三）由於LPM策略及MV策略二者的對風險的衡量理論不同，所謂最適避險策略或績效衡量方法，仍需取決於投資人對風險偏好的程度、損失承擔的能力及對避險的接受度等，才能選擇最適的方法。 Futures contracts have been the most important hedging instruments in financial markets. Estimating hedge ratios is the primary issue in hedging with futures contracts. In this research we will introduce two hedging strategies. The first strategy aims to minimize the downside risk by adopting Lower-Partial-Moment (LPM) model. The second strategy focuses on achievement of Minimum-Variance (MV) of portfolio. We use the weekly returns on spot and futures of Australian ASX/SPI200 Index、Japanese NIKKEI225 Index、Hong Kong Hang Shen Index、Korean KOSPI200 Index、Malaysian FTSE KLCI Index and Indonesian SENSEX30 Index. The sample period extends from January 1st, 2000 to December 31, 2010. By applying these two different strategies to estimate the optimal hedge ratio, we compared the differences of hedging effectiveness and hedge ratios when investor’s risk appetite and target return changes. We also analyze the optimal hedge strategy by three performance measurement approaches. The empirical results show that no matter what the target return changes, the hedge ratios of LPM with a=1 (lower risk averse) is lower than that from LPM with a=2 (higher risk averse). And the hedge ratios become lower when the target return reduced. In average, the hedge ratio of the first strategy is usually lower than that of the second strategy. In conclusion, there are no particular approach could estimate the optimal hedge ratio. Investors should choose appropriate model for different risk taking capacity and investment target return to estimate the optimal hedge ratio and raise the hedging effectiveness.
