基于几何谱风险测度GM的期货套期保值模型研究  

Research on Futures Optimal Hedge Ratio Model based on GM

作　　者：迟国泰[1] 王元斌[1] 张玉玲[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《管理工程学报》2010年第2期29-35,6,共8页Journal of Industrial Engineering and Engineering Management

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和ZZ200505);大连市科技计划项目(2004C1ZC227)

摘　　要：利用几何谱风险测度GM控制套期保值中组合资产的极端损失风险,建立了基于GM的期货套期保值优化模型。本模型的创新与特色一是现有研究的传统套期比、最小方差和VaR最优套期比模型仅仅是本模型最优套期比的一个特例;二是通过几何谱风险测度GM的风险厌恶函数对较大的极端损失赋予较大的权重达到了控制极端风险的目的;三是通过几何谱风险测度GM的风险厌恶函数对极端损失客观赋权改变了风险偏好人为给定的随意性;四是模型得到的最优套期保值比率由投机需求和纯套保需求两部分组成,反映套期保值者的真实需求。By using Geometric Spectral Measure of Risk to control the extreme losses of portfolio,the optimal hedging model based on Geometric spectral measure of risk is built.The innovations and characteristics are as follows： firstly,traditional hedging ratio,minimum variance hedging ratio and VaR hedging ratio are only special examples of this model.Secondly,larger weights are distributed to larger extreme losses by the function of the risk aversion,which controls the risk of extreme losses.This function of risk aversion fits the investors＇ risk aversion characters.Thirdly,objective weights were given to the extreme losses which avoid personal choices.Fourthly,the optimal hedging ratio of the model was composed of speculative demand and hedging demand,which reflect the real need of the hedging.

关 键 词：几何谱风险测度 套期保值比 风险厌恶 极端风险控制 

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