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当期货合约的最长持有期比现货所要套期保值的时间还短时,就迫使人们不得不采用两个或两个以上的期货合同交叠或接续的做法来进行现货的套期保值.采用期限较短的期货合约逐个叠加构造与现货套期保值时间相等的期货组合,建立了基于最小方差的系列展期套期保值优化模型.该模型一是通过建立交叠合约的风险函数求解最优套期保值比率,解决了复杂时间序列的整体风险的控制问题.二是在三个区间段组成的连续的等效时间序列中,在其整体风险最小的情况下,反推出交叠区间段不同期货合同价格冲抵的比例关系,进而求出交叠部分不同期货合约各自的最优套期比.实证研究表明所建立模型的有效性高于现有研究的成堆展期套期保值模型.
When the longest holding period of a futures contract is shorter than the spot hedging time, it forces people to use two or more futures contracts to overlap or continue the practice of spot hedging. The futures contract with short term is used to construct a series of forward hedging optimization models based on the least variance and the risk function of overlapping contracts is used to solve the optimal Hedging ratio, which solves the problem of controlling the overall risk of complex time series.Secondly, in the continuous equivalent time series consisting of three interval segments, under the condition of the least overall risk, Futures contract price to offset the proportion of relations, and then find the overlapping part of the different futures contracts, the optimal hedge ratio.The empirical study shows that the effectiveness of the established model is higher than the current study of stack hedging hedging model.