基于持有成本理论的期货套期保值决策模型  

The Optimal Hedging Model of Futures Based on Cost of Carry Theory

作　　者：迟国泰[1] 张梅[1] 杨磊[1] 

机构地区：[1]大连理工大学工商管理学院,辽宁大连116024

出　　处：《运筹与管理》2010年第6期104-116,共13页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(70571010);中央高校基本科研业务费专项资金资助项目(DUT10ZD107;DUT10RW107);大连市社会科学院基金资助项目

摘　　要：运用几何布朗运动模型预测未来的现货价格,将未来的现货价格参数代入持有成本理论模型,预测出期货价格,根据最小方差套期比公式,建立了基于持有成本理论的期货套期保值决策模型。通过蒙特卡罗模拟现货价格和期货价格的走势并进行实证分析,研究结果表明基于持有成本理论的期货套期保值决策模型优于传统的最小方差模型、Sharp模型、完全套期保值模型和最小二乘等四种流行的套期保值模型。本文的主要创新与特色一是建立反映现货价格对期货价格影响的套期保值决策模型。解决了现有研究忽略现货价格对期货价格影响的问题。二是用改进的持有成本理论揭示了期货价格与期货交易费用、持有成本波动的函数关系。三是用Mote Carlo模拟现货价格和期货价格未来的走势。克服现有研究主要通过历史数据对套期保值比进行确定的不足。According to the MV theory of futures hedging,this paper builds up the optimal hedging model of futures markets based on cost of carry theory by using geometric Brownian motions to simulate the fluctuation process of spot price,bringing the simulated spot price parameter to the cost of carry theory model,and predicting the futures price.By simulating the coming track of futures price and the spot price by the method of Monte Carlo simulation and making empirical study,the study result indicates that the model of this paper is better than other hedging models such as traditional MV,Sharp,completely hedging and OSL.The first innovation and characteristic of this paper is that it sets up the hedging model which can reflect the influence the spot price has on the futures price.It solves the problem of the resent research ignoring the influence which the spot price has on the futures price.Secondly,it uses improved cost of carry theory to reveal the function relation between the futures price and futures exchange expense and the fluctuation of the cost of carry.Finally,it simulates the coming track of the futures price and the spot price by the method of Monte Carlo simulation which can overcome the shortcoming of the resent research that usually uses the past data to calculate the hedging ratio.

关 键 词：套期保值 最优套期比 持有成本理论 最小方差套期比 蒙特卡罗模拟 布朗运动 

分 类 号：F830.9[经济管理—金融学]