基于动态规划多期期货套期保值优化模型研究  

Research on Multi-period Futures Dynamic Hedging Model

作　　者：迟国泰[1] 余方平[2] 王玉刚[3] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024 [2]中国保险监督管理委员会大连监管局,辽宁大连116001 [3]国家开发银行大连市分行,辽宁大连116001

出　　处：《中国管理科学》2010年第3期17-24,共8页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70571010);教育部人文社会科学研究项目基金资助项目(09YJC790024);中期协联合研究计划资助项目(GT200410;ZZ200505)

摘　　要：通过对套期保值者头寸价值变化量的分析,采用动态规划方法,建立了多期套期保值动态模型,推导出多期套期保值进行动态跟踪调整的策略。该模型的特点一是反映了期货交易费用在套期保值中的作用,解决了现有期货套期保值策略忽略交易费用的不足,提高了模型的准确性。二是考虑保证金对期货套期保值的影响。把期货交易保证金的机会损失纳入套期保值策略内,从而使套期保值直接反映了期货保证金无利息收入、而存在机会成本的真实情况,弥补了现有研究不考虑期货交易保证金的机会损失的缺陷。三是体现了套期保值者收益最大化的原则。解决了现有模型只考虑了规避期货和现货组合的价格波动风险,忽略组合的收益的弊端,增加了模型的实用性和适用性。The hedger position＇s value alteration is analyzed,and using the dynamic programming method,the multi-period futures dynamic hedging optimal model is set up.At the same time,the dynamic multi-period strategy is derived.The characteristic lies on three aspects.Firstly,the model reflects the effect of hedging trade cost.This solves the problem of the existing hedging strategies ignoring the impact of trade cost,and improves the model＇s precision and accuracy.Secondly,the impact of futures margin is taken into account.The futures margin＇s opportunity loss is brought into hedging strategies,which gives a true picture of futures margin existing opportunity loss without interest return.Thus the model remedies the limitation that existing literatures have no regard of the futures margin＇s opportunity loss.Thirdly,the principle of the maximum return of the hedger is considered.The malpractice that would only consider the price risk and ignore the futures and spots portfolio＇s profit is solved.This guarantees the model＇s practicality and utility.

关 键 词：套期保值 多期套期保值 动态规划 优化模型 期货合约 

分 类 号：F830.9[经济管理—金融学]