考虑偏度风险和峰度风险的非线性期货套期保值模型  

Nonlinear Futures Hedging Model Based on Skewness Risk and Kurtosis Risk

作　　者：傅俊辉[1] 张卫国[1] 陆倩[1] 梅琴[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510641

出　　处：《系统工程》2009年第10期44-48,共5页Systems Engineering

基　　金：教育部新世纪优秀人才支持计划项目(NECT06-0749);国家自然科学基金资助项目(70801027);教育部人文社会科学研究规划基金资助项目(07JA630048)

摘　　要：期货市场中,不仅存在方差风险,还存在偏度风险和峰度风险。但是现有的期货套期保值模型研究基本都是建立在方差风险基础上的,并没有考虑偏度风险和峰度风险对于套期保值的影响。针对现有研究的这一共同问题,本文以负指数效用函数为决策函数,提出了考虑偏度风险和峰度风险的非线性期货套期保值模型,并以原油的套期保值为例,讨论了偏度风险和峰度风险对于期货套期保值模型的影响。There is skewness risk and kurtosis risk in the futures markets besides variance risk. However,the existing models for futures hedging are almost based on variance risk, which ignores the impact of the skewness risk and kurtosis risk in the hedging decision. In view of the common problem of existing studies, we take the negative exponential utility function as decision-making function and propose nonlinear futures hedging model based on skewness risk and kurtosis risk in this paper. Finally, we use the hedging of crude oil to illustrate the application of the model and discuss how skewness risk and kurtosis risk impact hedge ratio.

关 键 词：偏度风险 峰度风险 负指数效用函数 套期保值 

分 类 号：F832[经济管理—金融学]