基于资金限制的Sharp-ARIMA期货套期保值决策模型  

The Sharp-ARIMA Futures Hedging Decision Model Based on Capital Constrain

作　　者：迟国泰[1] 杨万武[1] 余方平[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《预测》2007年第3期72-80,共9页Forecasting

基　　金：国家自然科学基金资助项目(70571010);中期协联合研究计划资助项目(GT200410;ZZ200505);大连市科技计划资助项目(2004C1ZC227)

摘　　要：通过ARIMA时间序列预测期货套期保值的资金需求量,以Sharp套期比模型为目标函数,以套保者的手头资金大于套保资金需求量为约束,建立基于资金限制的Sharp-ARIMA期货套期保值决策模型,解决基于资金限制的单品种期货套期比的确定问题。并利用WS411合约的历史数据实证分析了该模型。本模型的创新与特色一是决策模型确定了套期保值的资金需求,避免了因资金短缺导致的套保失败。二是提出了能够反映期货价格一阶平稳和季节性变化的套期保值资金需求量预测的研究思路,这就改变了现有研究仅对历史数据进行简单平均预测的现状,更加符合期货价格的波动规律。三是揭示出套期保值者手头持有的资金与套保比之间关系。By using ARIMA time series to forecast the future hedging capital requirement, Then paper takes the cash in hand more than the futures hedging capital requirement as the restraints of the Sharp hedging ratios to set up The Sharp--ARIMA futures hedging decision model based on capital constrain. This solves the problem of deciding the ratios of single futures hedging based on capital constrain. By using the historical futures data of WS411, we validate the model＇ s practicability, The characteristics lies on three aspects： Firstly, the decision model considered the influence of capital constrain to the futures hedging to avoid the failure of hedging because of being hard up capital. Secondly, we put forward the a new method to forecast hegding capital requirement, this method can reflect the first order balance and seasonal change of futures＇ price, Finally, this model open out the relationship between hedging cash in hand and hedging ratio.

关 键 词：资金限制 套期保值 决策模型 Sharp套期比 ARIMA预测 

分 类 号：F830.9[经济管理—金融学] O224[理学—运筹学与控制论]