| 期货套期保值的最优套头比分析 |
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| 引用本文： | 廖勇.期货套期保值的最优套头比分析[J].西南民族学院学报(自然科学版),2003,29(2):203-206,. |
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| 作者姓名： | 廖勇 |
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| 作者单位： | 西南民族学院经济与管理学院 成都 |
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| 摘 要： | 主要讨论了期货套期保值的最优套头比的计算．在约翰逊和司坦因将债券组合理论引入套期保值分析后,我们计算出了最优的套头比,并用此分析了早期“幼稚的方法”、JSE方法和HKM方法,指出了他们各自的特征和优越之出．在此基础上我们提出,完全的套期保值套头比还应考虑对期货市场本身因素的准确度量．
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| 关 键 词： | 套期保值 最优套头比 债券组合理论 期货市场 价格风险 金融市场 |
| 文章编号： | 1003-2843(2003)02-0203-04 |
An analysis of the best hedge ratio with the futures |
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| LIAO Yong.An analysis of the best hedge ratio with the futures[J].Journal of Southwest Nationalities College(Natural Science Edition),2003,29(2):203-206,. |
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| Authors: | LIAO Yong |
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| Abstract: | The thesis discusses how to calculate the best hedge ratio with the futures. Since Johnson and Stein introduced the Securities Portfolio Theory to calculate the hedge ratio, we have found the best hedge ratio. Then we analyze the characteristics of the early "Childish Method", the JSE Method and the HKM Method. Finally we have a conclusion that it must consider the factor of the futures market to calculate the best hedge ratio. |
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| Keywords: | futures hedge hedge ratio risk |
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