基于资金限制的单品种期货最优套期比模型  

Optimal Single Futures Hedging Model Based on Capital Constrain

作　　者：杨万武[1] 迟国泰[2] 余方平[1] 

机构地区：[1]大连理工大学应用数学系,大连116024 [2]大连理工大学管理学院,大连116024

出　　处：《系统管理学报》2007年第4期345-350,共6页Journal of Systems & Management

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);大连市科技计划项目(2004C1ZC227)

摘　　要：以期货套保者的手头资金大于套保资金需求量的预测值作为Sharp套期比模型的约束条件,建立了基于资金限制的单品种期货最优套期比模型,利用WS411合约的历史交易日数据实证对比分析了该模型。本模型确定了套期保值的资金需求,避免了因资金短缺导致套保失败;揭示出套期保值的手头资金与套保资金需求量之间的关系。对比分析表明,本模型优于完全套期保值、最小方差法和线性回归法。证明了套保资金需求量影响套期保值比率。The paper takes cash at hand more than the futures hedging capital requirement as the restraints of the Sharp hedging ratios to set up the optimal hedging model of single future based on capital constrain. By using the historical futures data of WS411, we validate the model＇s practicability.＂ The characteristics lie on three aspects. Firstly, the model considered the influence of capital constrain to the futures hedging to avoid the failure of hedging because of being hard up capital. Secondly, this model expand the Sharp model. Sharp model is the special case of this model. Thirdly, we validate the model has been set up is su- perior than the other three hedging methods. Finally, we validate the model by the real diagnosis research and provide the theory reference to hedging.

关 键 词：资金限制 套期保值 决策模型 资金需求量 Sharp套期比率 

分 类 号：F830.9[经济管理—金融学]