基于全部组合收益概率最大的最优新增组合套期比率  

Optimal model of hedging based on new and old portfolio of the maximum return probability

作　　者：于超[1] 迟国泰[1] 杨中原 

机构地区：[1]大连理工大学管理学院,大连116024 [2]大连银行博士后科研工作站,大连116001

出　　处：《系统工程理论与实践》2009年第10期1-12,共12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：提出了全部资产组合收益大于0概率最大原理,以全部资产组合单位风险期望收益最大为目标函数,以全部资产组合期望收益大于0为约束条件,建立了基于收益概率最大的新旧两组套期保值决策模型.该模型的特色与创新一是通过中心极限定理分析得到了在套期保值过程中使全部资产组合收益大于0的概率最大的两个基本条件:全部资产单位风险的收益最大和全部资产组合收益大于0;二是通过确定新增资产组合的套期保值比率使全部资产套期保值的组合收益大于0的概率最大.解决了在旧组合套期保值比率不可调整时,如何确定新组合的套期保值比率,使全部资产整体收益大于0的概率值最大的问题;三是通过建立新、旧两个套期保值资产组合风险非线性叠加的函数表达式,解决了在新增一组套期保值资产时,如何确定全部资产组合风险的问题;四是最优套期保值比率的优化目标同时兼顾收益和风险因素.Putting forward the Maximum principle that the return of all asset portfolio is above 0, taking units of the risk portfolio of the largest expected profit as the objective function and all assets portfolio＇s expected return above 0 as objective function, optimal decision-making model for incremental portfolio based on the maximum return probability is set up. The contribution and innovation of the model are： Firstly, through the analysis of the central limit theorem, it comes into two conditions： the maximum of the unit risk return probability of all portfolio and all portfolio return above 0, which can produce the maximum of all portfolio probability above 0 during the hedging. Secondly, the return of all the assets of hedging gains the greatest probability is above 0 by identifying new portfolio hedging ratio. By doing this, the problem that how to determine the new hedging ratio ensure the maximum probability of hedging return of total portfolio when the hedging ratio of old portfolio is invariability. Thirdly, by building the function of risk nonlinear addition between the new and old portfolio, the problem of how to ensure the risk of the total portfolio while allocating a new portfolio has solved. The forth, the target of the optimal portfolio take both return and risk factors into account.

关 键 词：存量组合 增量组合 组合风险叠加 最优套期比 最大收益概率 

分 类 号：F830.9[经济管理—金融学] C812[社会学—统计学]