基于最小方差的系列展期套期保值优化模型  

Optimal model of strip-and-roll hedge based on the min-variance

作　　者：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12期163-174,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(GT200410;ZZ200505);大连市科技计划(2004C1ZC227)

摘　　要：当期货合约的最长持有期比现货所要套期保值的时间还短时,就迫使人们不得不采用两个或两个以上的期货合同交叠或接续的做法来进行现货的套期保值.采用期限较短的期货合约逐个叠加构造与现货套期保值时间相等的期货组合,建立了基于最小方差的系列展期套期保值优化模型.该模型一是通过建立交叠合约的风险函数求解最优套期保值比率,解决了复杂时间序列的整体风险的控制问题.二是在三个区间段组成的连续的等效时间序列中,在其整体风险最小的情况下,反推出交叠区间段不同期货合同价格冲抵的比例关系,进而求出交叠部分不同期货合约各自的最优套期比.实证研究表明所建立模型的有效性高于现有研究的成堆展期套期保值模型.When the longest holding period of futures contracts is shorter than the hedging period,the hedger has to use two or more futures contracts overlap to hedging for the spot.In this paper,using the shorter futures contract-by-stack to construct the hedging portfolio,which make the time of the hedging portfolio is equal to the spot＇s time,the optimal model of strip-and-roll hedge based on the min-variance is set up.Firstly that by establishing the risk function of the overlap futures-contracts to gain the optimal hedging ratio,the problem controlling the total risk of complex time series is solved.Secondly,in the total hedging risk of the smallest cases,the proportion of relations of the different overlap futures is get,and then the optimal ratio of different futures in the overlap interval.Empirical studies show that the efficiency of hedging of this study is higher than the existing stack-and-roll hedge model.

关 键 词：期货风险 展期套期保值/滚动套期保值 最优套期比 优化模型 

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