论文部分内容阅读
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。
In the futures market, there is not only the risk of variance, but also the risk of skewness and the degree of kurtosis. However, the existing research on futures hedging model is basically based on variance risk without considering the influence of skewness and kurtosis on hedging. Aiming at the common problem of the existing research, this paper proposes a nonlinear futures hedging model considering the risk of skewness and the degree of kurtosis by taking the negative exponential utility function as the decision function. Taking the hedging of crude oil as an example, The Influence of Skewness Risk and Kurtosis Risk on Futures Hedging Model.