摘要
以期货套期保值收益最小方差为目标函数,建立了多种期货对多种现货的最优套期保值决策模型.模型的特色与创新一是根据两个或两个以上组合的非线性风险叠加后的整体风险来求解最优套期保值比率.解决了新增一组套期保值资产时,如何确定全部资产的套期保值最优策略问题.二是建立了多种期货对多种现货的最优套期保值决策模型.
Using returns variance minimization of hedging as an objective function,a multi-spot commodity to multi-futures commodity optimal decision-making model is set up.The contribution of the model lies in two aspects: The first is that the optimal hedge ratio can be worked out according to the total portfolio risk after the risk of two or more portfolios is added nonlinearly.The problem that how to determine the optimal hedge ratio of the total portfolio is solved while allocating a new portfolio.The second cont...
出处
《系统工程学报》
CSCD
北大核心
2010年第1期50-54,共5页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70571010)
中国期货业协会联合研究计划资助项目(GT200410
ZZ200505)
大连市科技计划项目(2004C1ZC227)
关键词
最优套期比
多对多套期保值
组合风险叠加
非线性风险叠加
最小方差套期保值
optimal hedge ratio
multi-spot commodity to multi-futures commodity hedging
portfolio risk adding
risk nonlinear adding
returns variance minimum of hedging
