股指期货套期保值比率计算方法的改进

Improved method for calculating hedge ratio of stock index future

股指期货套期保值比率的计算方法很多,其中最典型的是均值方差法。该种方法虽已得到广泛应用,但存在两大缺陷。实证分析表明,通过使用LPM法,不仅可以避免这些缺陷,还可以提高股指期货最佳套期保值比率的计算精度。

There are many ways to calculate the hedge ratio of stock index future. MV method obviously is the most classic way. Although MV method has been widely used, it still has two major defects. A positive research shows that using LPM method, not only could avoid those defects, but also achieve a more precise result of calculating the hedge ratio of stock index future.