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本文研究了带有风险价值约束的期货套期保值优化问题.用最优化方法获得了套期保值策略的存在性、求解模型的增广拉格朗日算法及其收敛性.文中的结果推广了期货收益率服从正态分布的单变量套期保值策略的研究,表现为用服从椭圆分布的随机变量刻画市场风险因子的厚尾特征、用风险价值控制套期保值的风险、构建了均值-VaR组合套期保值理论模型并给出了求解算法.
In this paper, we study the futures hedging optimization problem with VaR, obtain the existence of hedging strategy by using the optimization method, and solve the model of augmented Lagrange algorithm and its convergence.The results of the paper generalize The research on the univariate hedging strategy that futures yield follows a normal distribution shows the thick tail characteristic of the market risk factor is characterized by a random variable obeying the elliptic distribution and the risk of hedging is controlled by the risk value. The mean-VaR The hedging theoretical model is combined and the solving algorithm is given.