基于资金限制的多品种期货套期保值决策模型  

The multi-futures hedging decision model based on capital constrain

作　　者：迟国泰[1] 杨万武 王玉刚[3] 

机构地区：[1]大连理工大学管理学院,大连110324 [2]大连银行,大连116001 [3]国家开发银行大连市分行,大连116001

出　　处：《系统工程理论与实践》2008年第6期1-13,58,共14页Systems Engineering-Theory & Practice

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

摘　　要：依据期货-期货相关性与现货-期货相关性原理,在最小方差套期保值的基础上,引入了多品种期货套期保值的资金约束,建立了多品种期货套期保值模型.该模型的创新与特色是建立基于资金限制的多品种期货套期保值模型.利用多元GARCH预测多品种组合的资金需求量,在把握未来资金需求的情况下,确定多品种期货套期保值的最优策略,避免了因资金短缺而造成的套期保值失败.并利用大连商品交易所的大豆期货合约、豆粕期货合约及豆油现货数据,对基于资金限制的多品种期货套期保值决策模型进行了实证分析.Acording to the theory of relationgship between futures and futures and the relationship between futures and spots, based on the minimum variance hedge ratios, this paper builds the multi-futures hedging decision model by considering capital constrain of multi-futures hedge. The character of the paper is building the model of multi-futures hedging based on capital constrain, using the forcasfing model of multiple GARCH to forecast the hedging capital requirement, therefor the hedger can grasp the capital requirement in future, it can avoid the failure to hedge because of lacking money. The paper use the Dalian Commodity Exchange historical data of soja futhures,bean cake futhures and bean oil spot price to validate the decision model.

关 键 词：多品种套期保值 最优套期保值比率 资金限制 交叉套期保值 多元GARCH 多元蒙特卡罗模拟 

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