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| 多种期货对多种现货的最优套期保值决策模型 | |
| 引用本文： | 迟国泰,于超,杨万武.多种期货对多种现货的最优套期保值决策模型[J].系统工程学报,2010,25(1). |
| 作者姓名： | 迟国泰 于超 杨万武 |
| 作者单位： | 1. 大连理工大学管理学院,辽宁,大连,116024 2. 河北钢铁集团资产财务部,河北,石家庄,050000 3. 大连银行计划财务部,辽宁,大连,116001 |
| 基金项目： | 国家自然科学基金资助项目，中国期货业协会联合研究计划资助项目，大连市科技计划项目 |
| 摘 要： | 以期货套期保值收益最小方差为目标函数,建立了多种期货对多种现货的最优套期保值决策模型.模型的特色与创新一是根据两个或两个以上组合的非线性风险叠加后的整体风险来求解最优套期保值比率.解决了新增一组套期保值资产时,如何确定全部资产的套期保值最优策略问题.二是建立了多种期货对多种现货的最优套期保值决策模型. |
| 关 键 词： | 最优套期比 多对多套期保值 组合风险叠加 非线性风险叠加 最小方差套期保值 |
Optimal decision-making model of hedging for multi-commodity to multi-commodity |
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| CHI Guo-tai,YU Chao,YANG Wan-wu.Optimal decision-making model of hedging for multi-commodity to multi-commodity[J].Journal of Systems Engineering,2010,25(1). | |
| Authors: | CHI Guo-tai YU Chao YANG Wan-wu |
| Institution: | CHI Guo-tai1,YU Chao2,YANG Wan-wu3(1.School of Management,Dalian University of Technology,Dalian 116024,China,2.Financial Department,Hebei Iron , Steel Group,Shijiazhuang 050000,3.Program & Finance Department,Bank of Dalian,Dalian 116001,China) |
| Abstract: | Using returns variance minimization of hedging as an objective function,a multi-spot commodity to multi-futures commodity optimal decision-making model is set up.The contribution of the model lies in two aspects: The first is that the optimal hedge ratio can be worked out according to the total portfolio risk after the risk of two or more portfolios is added nonlinearly.The problem that how to determine the optimal hedge ratio of the total portfolio is solved while allocating a new portfolio.The second cont... |
| Keywords: | optimal hedge ratio multi-spot commodity to multi-futures commodity hedging portfolio risk adding risk nonlinear adding returns variance minimum of hedging |
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