基于整体风险最小的多阶段期货套期保值研究

Multi-period Futures Hedging Study Based on Overall Risk Minimization

对多阶段套期保值建立模型,综合考虑整体风险,以最终现货与期货的收益的方差建立目标函数.以多阶段整体风险最小为目标函数,考虑资金限制,建立套期保值模型来解决多阶段套期保值的套期保值比率问题.以资金限制为约束,避免了套期保值者因资金短缺而强制平仓造成的套保失败.利用差分算法和罚函数法进行求解.实证结果表明,多阶段的风险比逐个单阶段求得的风险明显的小,且整体套保的单位风险收益比单阶段的大很多,说明多阶段比单阶段能较好的实现套期保值.

Using total risk of hedging as an objective function to achieve minimum,we set up a multi-period commodity future hedging decision-making model based on capital constrain to solve the hedging ratio.This model considers the influence of capital constrain to avoid forced liquidation due to shortage of funds,resulting in the failure of hedging.Using differential evolution algorithm and penalty function to settle it.The empirical results show that the risk of multi-period commodity future hedging is smaller than single-stage one by one future hedging and the return of per unit of risk is larger than latter,which explains that the former can better realize hedging than later.