首先把投资组合理论应用于套期保值理论,采取积极的套期保值策略,不仅达到套期保值的目的,还在套期保值的基础上获得超额收益;其次建立了一种新的风险度量标准,用收益率分形维数度量投资收益的风险,符合风险的实际意义,从而可以获得更加合理的最优套期保值比;最后以收益率的分形维为目标函数,建立均值-分形维套期保值优化模型。 Firstly, applying the theory of portfolio theory to hedging theory and taking a positive hedging strategy, not only achieve the purpose of hedging, but also obtain excess returns on the basis of hedging; secondly, establish a new risk measure , The risk of investment income is measured by the fractal dimension of the yield, which accords with the practical significance of the risk so as to obtain a more reasonable optimal hedging ratio. At last, the fractal dimension of the yield is taken as the objective function to establish the mean-fractal hedging Hedging optimization model