摘要
所谓股指期货,就是以某种股票指数为标的物的金融期货合约.它同时具有股票与期货的特性,是组合投资者规避系统风险的重要金融衍生工具.针对股指期货,在考虑套期保值成本的前提下,利用套利和CAPM模型给出最优套期保值比率的计算公式.这将在一定的程度上,提高了计算的准确性,并且减少计算的工作量.
Stock index futures are futures contracts based on a stock index. It is an important financial derivative tool which has both stock and futures characteristic and could help portfolio investors to reduce the exposes in system risk. After considering the hedging cost, the author combines the arbitrage and CAPM model and puts forward the formula of optimal hedge ration to make the calculations more precise and simpler.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第9期23-30,共8页
Mathematics in Practice and Theory
基金
上海国际航运研究中心项目(2009YB202)
上海市教委创新项目(B800209015)
上海海事大学校内基金(A22009141)