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提出了全部资产组合收益大于0概率最大原理,以全部资产组合单位风险期望收益最大为目标函数,以全部资产组合期望收益大于0为约束条件,建立了基于收益概率最大的新旧两组套期保值决策模型.该模型的特色与创新一是通过中心极限定理分析得到了在套期保值过程中使全部资产组合收益大于0的概率最大的两个基本条件:全部资产单位风险的收益最大和全部资产组合收益大于0;二是通过确定新增资产组合的套期保值比率使全部资产套期保值的组合收益大于0的概率最大.解决了在旧组合套期保值比率不可调整时,如何确定新组合的套期保值比率,使全部资产整体收益大于0的概率值最大的问题;三是通过建立新、旧两个套期保值资产组合风险非线性叠加的函数表达式,解决了在新增一组套期保值资产时,如何确定全部资产组合风险的问题;四是最优套期保值比率的优化目标同时兼顾收益和风险因素.
The maximum probability of all portfolio returns greater than 0 is proposed. Taking the expected return of all portfolio units as the objective function and the expected return of all portfolio greater than 0 as the constraint conditions, the two old and the new hedges based on yield probability are established. Decision-making model.The first characteristic and innovation of this model are two basic conditions that maximize the probability of all portfolio returns greater than 0 during the hedging process through central limit theorem analysis: the maximum return on total asset unit risk and the total assets The combined return is greater than 0 and the second is to maximize the probability that the combined return of all assets hedging will be greater than 0 by determining the hedging ratio of the newly added asset portfolio Solve the problem of determining the new combination when the old combined hedging ratio is not adjustable The hedge ratio of all assets, so that the overall value of all assets is greater than 0 the probability of maximum value problem; third is through the establishment of new and old two hedging portfolio risk nonlinearly superimposed function expression to solve the problem of adding a group How to determine the risk of all portfolio when hedging assets; Fourth, the optimal hedge ratio Optimization goals take into account both revenue and risk factors.