Improving Interest Rate Risk Hedging Strategies through Regularization
针对收益率曲线非平行移动导致久期和凸性对冲策略失效的问题，提出带杠杆约束和权重正则化的多因子优化方法，显著提升对冲效果，尤其适用于养老金负债等未来现金流需求场景。
The effectiveness of duration and convexity hedging strategies deteriorates in the presence of non-parallel shifts of the yield curve. In the absence of appropriate constraints, the extension of these strategies accounting for changes in the shape of the yield curve generates unstable weights and extreme leverage, leading to poor out-of-sample hedging performance. To address this conundrum, we recast the bond portfolio immunization problem as a multifactor optimization program with leverage constraints and weight regularization. These regularized immunization strategies offer a robust improvement in hedging performance and are particularly well-suited to secure future cash flow needs such as pension liabilities.