摘要
股指期货作为资本市场中重要的风险管理工具,其功能的发挥取决于套期保值比率的确定。本文在系统分析投资组合最小风险套期保值模型基础上,研究了最小风险套期保值比率各种主要计算方法,并针对香港恒生指数期货套期保值进行深入的实证分析,检验了不同方法在香港市场上的应用效果。
As an important tool of risk management in capital market, the function of stock the determination of hedge ratio. This paper investigates various major calculation methods for on the basis of comprehensive study on the minimum risk portfolio hedge model, and makes a the Hengseng stock index futures hedge and validates the application of different methods on index futures is dependent on the minimum risk hedge ratio thorough empirical analysis of Hong Kong market.
出处
《系统工程》
CSCD
北大核心
2008年第9期80-84,共5页
Systems Engineering
基金
国家自然科学基金资助项目(70471030)
国家杰出青年科学基金资助项目(70825006)
