套期保值条件风险价值模型最优期货量的算法实现

The Optimal Solution Based on the of the conditional Value--at--Risk about futures Hedging

条件风险价值（CVaR）是指损失额超过VaR部分的期望损失值，它具有VaR模型的优点，同时在理论上又具有良好的性质，如具有次可加性、凸性等。在期货组合套期保值的决策中，以CVaR风险达到最小为优化目标，建立数学模型，并且在Matlab7．0下设计优化算法求解模型，得到CVaR风险最小的最优期货量。投资者可以使用这一算法得到的最优期货量设计套期保值策略，管理和控制现货交易的价格风险。

The Conditional Value at Risk is the loss of value in excess of part of the value of the loss of hope,it has the advan- tage of model,in theory, at the same time also has a good nature, such as meeting with the additive,such as convexity. In the futures hedging portfolio decision--making in order to minimize the risk of for the optimization goal, the establishment of mathematical models, and Matlab 7.0 algorithm designed to optimize the model,a minimal risk optimal amount of futures. Investors can use this method to be the optimal design futures hedging strategy,management and control of the spot trading price risk.