| 期货市场逐步组合套期保值的理论与方法 |
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| 引用本文： | 林孝贵.期货市场逐步组合套期保值的理论与方法[J].系统工程理论与实践,2002,22(11):100-103. |
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| 作者姓名： | 林孝贵 |
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| 作者单位： | 广西工学院管理工程系 |
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| 摘 要： | 对期货市场组合套期保值策略和保值风险进行了分析 ,给出组合套期保值率的最小二乘估计和保值风险的估计 .研究期货市场逐步组合套期保值问题 ,对给定要保值的现货资产 ,逐步找出参加组合套期保值的期货资产 .得到期货市场逐步组合套期保值的理论和方法 ,改善了组合套期保值的效果 ,为投资者提供一个实用的组合套期保值方法.
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| 关 键 词： | 期货 逐步 组合套期保值 保值风险 |
| 文章编号： | 1000-6788(2002)11-0100-04 |
| 修稿时间： | 2001年5月8日 |
The Theory and Method of Futures Combination Hedging Step by Step |
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| LIN Xiao\|gui.The Theory and Method of Futures Combination Hedging Step by Step[J].Systems Engineering —Theory & Practice,2002,22(11):100-103. |
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| Authors: | LIN Xiao\|gui |
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| Institution: | Department of Management Engineering; Guangxi University of Technology |
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| Abstract: | In this paper, by the analyses about the strategy of the combination hedge in futures markets and its risk, we get least squares estimation of the hedge ratio and its risk. We study the problem about futures combination hedging step by step. For given spot, the futures for a combination hedge are found out progressively. We get the theory and method of futures combination hedging step by step, and improve the effect of combination hedge. In the meantime, we provide a useful method of combination hedge for the investor. |
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| Keywords: | futures step by step combination hedge hedge risk |
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