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基于动态规划的套期保值策略研究 被引量：1

Hedge Strategy Based on Dynamic Programming
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摘要 运用中国期货市场期铜合约周数据,实证分析了动态规划方法套期保值的效果。研究发现动态规划方法套期保值有效性优于传统静态方法。 Applying weekly Cu future contracts on the Chinese market, optimal hedge ratios are calculated from the dynarnic programming approach. The empirical result suggests that it outperforms statistically traditional static approach.
作者 梁朝晖
机构地区 天津工业大学
出处 《电子科技大学学报（社科版）》 2007年第1期6-8,共3页 Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
基金 国家自然科学基金(70601020)
关键词 最优套期保值率 套期保值有效性 套期保值周期 optimal hedge ratios hedging effectiveness hedging horizon
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献7

  • 1花俊洲,吴冲锋,刘海龙,邹炎.期铜套期保值有效性实证研究[J].系统工程理论方法应用,2003,12(3):204-208. 被引量：25
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二级参考文献15

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共引文献24

同被引文献2

引证文献1

二级引证文献9

电子科技大学学报（社科版）
2007年 第1期

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