摘要
文章在套保组合收益率服从多元t分布假设下,以套保组合收益率的VaR最小为目标函数,建立了多品种石油期货最优套保比模型,并将该模型的实证结果与套保组合收益率服从正态分布假设下,基于VaR的单品种石油期货最优套保比以及传统套保比进行比较;结果显示,相对于其它2种套保策略,基于VaR的多品种石油期货套保策略可以最大限度地降低套保风险,提高套保有效性。
Under the assumption that the earnings rate of hedge portfolio is subject to multi-t distribution,this paper sets up an optimal hedge ratio model of multi-contract crude oil futures with the minimum VaR of the earnings rate of hedge portfolio as objective function.Then it compares the traditional hedge ratio with the optimal hedge ratio of single-contract crude oil futures based on VaR,which assumes that the derived results from the model and the earnings rate of hedge portfolio are subject to normal distribution.The empirical results show that compared with other strategies,the optimal hedge ratio of multi-contract crude oil futures based on VaR can minimize the risk of hedge and improve the effectiveness of hedge.
出处
《合肥工业大学学报（自然科学版）》
CAS
CSCD
北大核心
2010年第5期759-762,共4页
Journal of Hefei University of Technology：Natural Science
基金
国家自然科学基金资助项目(70971034)
安徽省自然科学基金资助项目(090416243)
