| 考虑偏度风险和峰度风险的非线性期货套期保值模型 |
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| 引用本文： | 傅俊辉,张卫国,陆倩,梅琴.考虑偏度风险和峰度风险的非线性期货套期保值模型[J].系统工程,2009(10). |
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| 作者姓名： | 傅俊辉 张卫国 陆倩 梅琴 |
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| 作者单位： | 华南理工大学工商管理学院; |
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| 基金项目： | 教育部新世纪优秀人才支持计划项目(NECT06-0749); 国家自然科学基金资助项目(70801027); 教育部人文社会科学研究规划基金资助项目(07JA630048) |
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| 摘 要： | 期货市场中,不仅存在方差风险,还存在偏度风险和峰度风险。但是现有的期货套期保值模型研究基本都是建立在方差风险基础上的,并没有考虑偏度风险和峰度风险对于套期保值的影响。针对现有研究的这一共同问题,本文以负指数效用函数为决策函数,提出了考虑偏度风险和峰度风险的非线性期货套期保值模型,并以原油的套期保值为例,讨论了偏度风险和峰度风险对于期货套期保值模型的影响。
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| 关 键 词： | 偏度风险 峰度风险 负指数效用函数 套期保值 |
Nonlinear Futures Hedging Model Based on Skewness Risk and Kurtosis Risk |
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| FU Jun-hui,ZHANG Wei-guo Zhang,LU Qian,MEI Qin.Nonlinear Futures Hedging Model Based on Skewness Risk and Kurtosis Risk[J].Systems Engineering,2009(10). |
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| Authors: | FU Jun-hui ZHANG Wei-guo Zhang LU Qian MEI Qin |
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| Institution: | FU Jun-hui,ZHANG Wei-guo Zhang,LU Qian,MEI Qin(School of Business Administration,South China University of Technology,Guangzhou 510641,China) |
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| Abstract: | There is skewness risk and kurtosis risk in the futures markets besides variance risk.However,the existing models for futures hedging are almost based on variance risk,which ignores the impact of the skewness risk and kurtosis risk in the hedging decision.In view of the common problem of existing studies, we take the negative exponential utility function as decision-making function and propose nonlinear futures hedging model based on skewness risk and kurtosis risk in this paper.Finally,we use the hedging o... |
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| Keywords: | Skewness Risk Kurtosis Risk Negative Exponential Utility Function Futures Hedging |
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