利用隨機波動風險溢酬做交易策略

Abstract

風險溢酬係指投資人投資於有價資產，相較投資於無風險利率或商品所需承擔之較高風險，而要求之超額報酬。文獻上，Chevallier 和Sevi (2013)發現風險溢酬和未來一個月的原油期貨報酬有著負向的線性關係，我們因此根據這樣的發現去建構一種交易策略。

Risk premium is the minimum amount of money one expects to get in order to hold a risky asset rather than a risk free asset. It can be seen as compensation to investors for undertaking risks. Interestingly, in the literature, Chevallier and Sevi (2013) have found a negative linear relationship between volatility risk premium and future 1 month crude oil future returns; we then use this idea to develop a trading strategy.