摘要
为降低套期保值风险,加强套期保值效果,提出了组合套期保值方法,并建立组合套期保值策略模型.考虑现实交易情形,建立带有交易费用的组合套期保值策略模型,并对其进行研究及求解.
For reducing the risk of hedge and enhancing the effect of hedge, we bring forward combination hedge. We establish the model of combination hedge. Thinking of the real condition of the future transaction, we present the model of combination hedge with transaction cost, and study on them and give approach to seek their equilibriums.
出处
《宁波大学学报（理工版）》
CAS
2007年第1期105-108,共4页
Journal of Ningbo University：Natural Science and Engineering Edition
关键词
组合套期保值
基差风险
交易费用
乘积最大化准则
combination hedge
basis risk
transaction cost
the rule of maximum of product
