利用组合套期保值策略规避电力市场风险

Hedging risks at electricity markets through combination hedging strategies

基于风险最小化的动态投资组合策略和Markowitz资产组合理论,采用方差最小法,针对我国电力市场目前的实际情况和国内企业所处的特殊环境,提出要取得套期保值的最佳效果,应当积极利用组合套期保值,并进行实证分析,从而最终确定最佳套期比。

Based on the dynamic investment portfolio strategy, the Markowitz assert combination theory, the actual situation of the domestic electricity market, and the unique environment facing domestic enterprises, it is suggested that the combination hedging should be used to achieve the optimal effect of hedging. Practical data were used to determine the optimal hedging ratio.