基于收益率与风险比率的期货套期保值策略研究  

Futures hedging strategy based on the improved ratio between profit and risk

作　　者：安俊英[1] 张卫国[2] 蒋祥林[3] 张睿[1] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]上海理工大学理学院,上海200093 [3]复旦大学金融研究院,上海200433

出　　处：《上海理工大学学报》2008年第4期357-360,共4页Journal of University of Shanghai For Science and Technology

基　　金：上海市重点学科建设资助项目(T0502);上海市高等学校科学技术发展基金资助项目(07ZZ83);国家自然科学基金资助项目(70503006)

摘　　要：引入目标收益率作为衡量套期保值行为盈亏的界线,建立基于改进的收益率与风险比率相对数最大化的期货套期保值优化决策模型.使得单位风险下组合期望收益率大于目标收益率的收益程度最大,从理论上推导出空头和多头套期保值的最优套期比率,并与传统套期比作比较,求出了空头和多头在传统最优套期比基础上的调整量.给出了当目标收益率满足一定条件时,空头和多头套期保值的最优套期比公式.The target rate is introduced as the boundary used to judge whether profit or loss will be achieved for hedging. The optimal futures hedging strategy model based on the improved ratio between profit and risk is set up, which makes the profit rate exceed the target rate. The optimal hedge ratio is derived and analyzed theoretically, and compared with the traditional hedging ratio. The judged part is gained. In addition, the optimal hedging ratios for short and long hedging are obtained when the target rates satisfy given conditions. An example is given for demonstration

关 键 词：套期保值 目标收益率 收益率与风险的比率 

分 类 号：F224[经济管理—国民经济] F830