期货市场多阶段展期套期保值的基本理论探讨

On Basal Theory of Multiperiod Rolling Hedge in Futures Market

在“n”个展期阶段的多阶段展期套期保值中,其基差可以分解为“2n-1”个基差风险来源,而非Hull认为的“n”个,并借助基差分析,研究了多阶展期套期保值策略的两个基本理论问题,证明了只有在满足一定条件下增加展期次数才有利于分散风险,而在M RH策略中增加期货资产种类数进行组合套期保值可以绝对的降低基差风险。

It is found that the basis of multiperiod rolling hedge has ＂2n- 1＂ kinds of basis risk and Hull falsely consider the amount is ＂n＂ in rolling ＂n＂ times, and researching two basal academic issue through analyzing basis, attesting that increasing rolling phases amount can disperse basis risk only conditioning some diathesis, and MRH strategy can absolutely decrease basis risk through increasing future variety in compounding hedging.