基于收益率与风险比率的期货套期保值策略研究

Futures hedging strategy based on the improved ratio between profit and risk

引入目标收益率作为衡量套期保值行为盈亏的界线,建立基于改进的收益率与风险比率相对数最大化的期货套期保值优化决策模型.使得单位风险下组合期望收益率大于目标收益率的收益程度最大,从理论上推导出空头和多头套期保值的最优套期比率,并与传统套期比作比较,求出了空头和多头在传统最优套期比基础上的调整量.给出了当目标收益率满足一定条件时,空头和多头套期保值的最优套期比公式.

The target rate is introduced as the boundary used to judge whether profit or loss will be achieved for hedging. The optimal futures hedging strategy model based on the improved ratio between profit and risk is set up, which makes the profit rate exceed the target rate. The optimal hedge ratio is derived and analyzed theoretically, and compared with the traditional hedging ratio. The judged part is gained. In addition, the optimal hedging ratios for short and long hedging are obtained when the target rates satisfy given conditions. An example is given for demonstration