基于整体风险控制的组合套期保值优化模型  

Optimization model of the combinatorial hedging based on the control of total loss risk

作　　者：杨中原[1] 迟国泰[1] 赵光军[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《系统工程学报》2009年第5期515-522,共8页Journal of Systems Engineering

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：通过偏度控制收益分布向右偏斜减小重大风险发生的概率,以期货套期保值收益率最小方差为目标函数,建立了基于整体风险控制的组合套期保值优化模型.本模型的特色与创新一是通过组合收益率偏度大于等于零控制套期保值的整体风险;二是通过多种期货对一种现货的组合套期保值提高了套期保值的有效性;三是通过非线性风险叠加与对冲控制多种期货对一种现货的组合风险.通过实证研究和与现有研究的对比分析,表明本研究所建立的模型可以有效地减小套期保值的风险并提高套期保值的有效性.Using the returns variance minimum of hedging as objective function, using skewness to control right-skewed income distribution to reduce the probability of significant risks and regarding it as constraints, a hedging profit variance-skewness optimization model is set up. The novelties of the model are firstly that the probability of the total loss is controlled with the right deflection distributing of hedging returns. Then the total risk of hedging is avoided. Secondly, the model uses combinatori- al hedging of multi-futures to single spot to enhance the effectiveness of hedging. That solves the risk problem rising from one-futures to hedge single cash. Thirdly, it superposes the multi-futures to sin- gle cash combination risk by using the nonlinear hedging principle. The combination risk is calculat- ed with the matrix of futures and spot＇ s yield, which reflects the nonlinear superposition and nonlin- ear hedging. By comparative analysis, the hedging model can effectively reduce the risk of the hedging and enhance the effectiveness of the hedging.

关 键 词：期货风险 套期保值 套期比 偏度控制 方差-偏度模型 

分 类 号：F830.9[经济管理—金融学] O224.0[理学—运筹学与控制论]