應用Mean-VaR模型於最適化油品煉製組合

Abstract

本研究探討企業在面臨價格波動的市場風險下，為求營業收入持續穩定成長，以Mean-VaR模型來決定下期的最適生產組合之方法。實証分析則以汽油、熱燃油、餘底油為實證標的，探討煉油廠商在面對油價的高度波動之下，利用歷史模擬法、t(8)分配法、EWMA法等三種模型估計風險值，進而產生Mean-VaR模型及其效率前緣，再以Campbell、Huisman及Koedijk(2001)所提出的修正Sharpe Ratio之效率指標，進行最適生產組合之估算，使企業能夠找出最有效率的生產組合。在模型的比較上，本研究進行了過去250期的回溯測試，並以Christofferson(1998)之檢定作為回溯測試之依據。回溯測試結果顯示，EWMA法是一個較佳的模型。此外亦可看出不同模型之間，所決定之最適生產組合的報酬率、產品權重、效率值等，均有不小的差異。 另外，本研究也同時探討了在不同的風險設定條件下，對於最適生產組合的影響。研究結果顯示，當調高風險值、調低信賴水準、以及增加持有的時間區間時，將會因為增加風險，而導致預期報酬率的提高，此時高風險高報酬的產品權重會增加，而低風險低報酬的產品權重則會減少，並藉由此一權重調整程序，使生產組合的風險值符合預先設定的條件。

The purpose of this research is to study how to optimize a product portfolio under a price volatility to maintain a stable operating revenue by applying Mean-VaR models. The practical analysis is to discuss how a refinery with product portfolios composed of gasoline, heating oil, and residual fuel, uses historical simulation method, t-distribution method, and EWMA method, to estimate VaR of product portfolios to bring out the Mean-VaR models and efficient frontiers, and then to find out the most efficient product portfolio by the efficiency index modified by Campbell、Huisman, and Koedijk(2001).In the comparison among models, this study proceeds the backtests for past 250 periods by the method developed by Christofferson(1998). The results of backtest appear that EWMA method is the best model among the three ones in this study. Besides, the results also show that there are significant differences about return, weight of product portfolio, efficiency, among the three models. Besides, this study also discuss effects upon optimal product portfolios under different designated risk conditions. The results reveal that higher VaR, lower confidence level, longer holding time interval will enhance the expected return because of the higher risk, and meanwhile, the weight of higher risk product will rise, and vice versa.