动态套期保值策略的模拟检验

Simulation Test of Dynamic Hedging Strategy

近年来,我国的证券投资基金有了超常规的发展,因此,借鉴国外投资基金的管理经验已成为当务之急。作为一种风险管理的工具,动态套期保值在国外广泛应用于投资基金的组合管理中。通过对两种典型动态套期保值策略的计算机模拟,来检验其套期保值的效果。

In recent years China's security funds have achieved a development beyond normal scale. So it is an urgent task to take advantage of foreign experience in this regard. Dynamic hedging as a risk control instrument is widely used fund portfolio management. This paper is to simulate with comptuter the two hedging strategies and test their effect.