基于重大损失控制的套期保值优化模型  

Optimal Model of Hedging Based on the Constraints of Hedger's Serious Loss

作　　者：迟国泰[1] 杨中原[1] 王玉刚[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6期57-63,共7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：以套期保值收益率的最小方差为目标函数,以收益率偏度大于等于零控制套保者遭受重大损失发生的概率,建立了基于重大损失控制的套期保值优化模型。本模型的特色与创新是建立了"均值—方差—偏度"的三因素套期保值优化模型。通过偏度约束控制了当收益分布向右偏斜时的重大损失发生的概率,解决了套保者遭受重大损失的问题。在期望—方差模型的基础上,增加了偏度参数,开拓了套期保值优化的新思路,解决了套期保值过程中重大风险的规避问题。Using the returns variance minimum of hedging as objective function, using positive profit skenewss as constraint of serious loss＇ probability, the constraints of hedger serious loss optimal model is set up. The contribution of the model is that the expected profit expected-variance-skewness optimal model is set up. The probability of the great loss is controlled by the right deflection distributing of hedging returns, Then the great loss risk of hedger is avoided. Based on expected-variance optimal ~nodel, the optimal model is set up by using the skewness parameter. New idea about the opti- mal study of hedging is given. The problem about avoiding the total great risk of hedging is solved.

关 键 词：期货风险 套期保值 套期比 均值-方差-偏度模型 偏度控制 

分 类 号：F830.9[经济管理—金融学]