| 运用股指期货对证券的复合套期保值战略 |
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| 引用本文： | 张宗成,苏振华.运用股指期货对证券的复合套期保值战略[J].华中科技大学学报(自然科学版),2004,32(1):102-104. |
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| 作者姓名： | 张宗成 苏振华 |
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| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
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| 基金项目： | 国家自然科学基金资助项目 (70 172 0 4 6 ) |
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| 摘 要： | 提出了复合套期保值的概念，其基本原理是构造一个与原证券组合的风险暴露相反的期货头寸，用以规避全部或部分标的资产的风险．探索了复合套期保值对应股指期货头寸的计算方法．论证了侧重证券市场投资的投资者，在我国证券市场存在卖空限制下，运用复合套期保值较简单套期保值的优越性．
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| 关 键 词： | 证券市场 套期保值 系统风险 |
| 文章编号： | 1671-4512(2004)01-0102-03 |
| 修稿时间： | 2003年2月13日 |
The strategy for compound hedging with the indexes futures |
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| Zhang Zongcheng Su Zhenhua Prof., College of Economics,Huazhong Univ. of Sci. & Tech.,Wuhan ,China..The strategy for compound hedging with the indexes futures[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2004,32(1):102-104. |
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| Authors: | Zhang Zongcheng Su Zhenhua Prof College of Economics Huazhong Univ of Sci & Tech Wuhan China |
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| Institution: | Zhang Zongcheng Su Zhenhua Prof., College of Economics,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | The conception of compound hedging was put forward. The principle of compound hedging was to construct a futures position opposed to exposure risk and to hedge the full or part risk of the object assets. The way was explored to count the position of index futures and the advantage of the compound hedging with the simple hedging for the investors under the limitation of short sales in China was discussed. |
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| Keywords: | securities market hedging system risk |
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