基于VaR的期货最优套期保值模型及应用研究  

Research on futures optimal hedging model based on VaR and its application

作　　者：迟国泰[1] 余方平[2] 刘轶芳[3] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024 [2]中国保险监督管理委员会大连监管局,辽宁大连116001 [3]中国科学院研究生院管理学院,北京100080

出　　处：《系统工程学报》2008年第4期417-423,共7页Journal of Systems Engineering

基　　金：基金项目:国家自然科学基金资助项目(70571010);中国期货业协会联合研究计划资助项目(GT200410;ZZ200505);大连市科技计划项目(2004C1ZC227)

摘　　要：提出基于 VaR 确定期货最优套期保值比率原理,并建立了以组合 VaR 为目标函数的套期保值优化决策模型,一是从理论上推导了 VaR 最优套期比,二是研究发现 VaR 最优套期保值比在期货合约期望收益率为零,期货和现货收益率完全相关或 VaR 置信水平接近于100%的情况下趋近于最小方差最优套期比;现货和期货价格变动完全一致情况下,VaR 最优套期比等于传统的套期比,三是得出了 VaR 最优套期比由反映套期保值者投机需求和纯套期保值两部分组成的结论.This paper brings forward an optimal hedge ratio principle based on VaR and sets up a hedging optimization decision-making model with the VaR as the objective function. Firstly, the VaR optimal hedge ratio is derived. Secondly, it is found that the VaR optimal hedge ratio converges to the minimum-variance （MV） hedge ratio under either perfect correlation between spot yield and futures yield, or 100%-predetermined VaR confidence level. Furthermore, the VaR hedge ratio is equal to the traditional hedge ratio when the price of the spot and the futures vary all the same. Thirdly, it is concluded that the VaR optimal hedge ratio is composed of two parts that are the part of reflecting the speculating demand of hedger and the part of pure hedging.

关 键 词：套期保值 最优套期比 期货合约 风险价值(VaR) 

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