摘要
利用期货市场套期保值策略,企业可以避免或减少现货价格波动的风险.但是人们常常使用传统的最小方差法来求出套期保值率及其相应的套期保值风险.在本文我们分析最小方差法存在的缺陷,提出了套期保值的最小二阶矩方法.导出新的套期保值率及其相应的套期保值总风险,空头套期保值风险和多头套期保值风险.为判断当前价格适合进行空头套期保值还是适合多头套期保值提供理论依据.
With the help of futures hedging, the business can avoid or minimize spot price risks. But people often find the ratios of hedging by least variance method and its risks. In this paper, we analysis the defects of least variance method, and advance a least second moment method of the futures hedging. We get new hedging ratios, total risk of hedging, short hedging risk and long hedging risk. The theory basis is provided for that we judge the present price to fit short hedging or long hedging.
出处
《应用概率统计》
CSCD
北大核心
2002年第3期239-243,共5页
Chinese Journal of Applied Probability and Statistics
