组合套期保值的多元线性回归特征

从统计学角度推导了风险头寸和多种套期保值工具所组成资产组合的价格协方差矩阵逆矩阵的表达式,分析了该表达式的统计学特征.在此基础上,结合组合套期保值策略的基本模型,研究了组合套期保值策略最优套期保值比率的数理统计特征.结果表明,各套期保值工具的最优套期保值比率正好等于风险头寸价格对各套期保值工具价格进行多元线性回归后对应的复回归系数.揭示了组合套期保值方法和套期保值的回归分析方法之间存在紧密的联系.

Study on Characteristics of Multiple Linear Regression for Cross Hedging

The paper derives the formulation of the inverse of asset price covariance matrix of portfolio statistically which includes a risky position and many hedging instruments,and analyzes the statistical characteristics of the inverse matrix.The knowledge of the inverse matrix leads to an illuminating statistical expression for the optimal hedging ratios of cross hedging strategy.The result shows that the optimal hedging ratios are exactly equal to the corresponding multiple regression coefficients obtained by r...