基于CVaR的多品种期货套期保值研究  

Multi-futures Hedging Study Based on Conditional Value at Risk

作　　者：牟恩[1] 高岳林[1] 

机构地区：[1]北方民族大学信息与系统科学研究所,宁夏银川750021

出　　处：《武汉理工大学学报（信息与管理工程版）》2012年第2期253-255,共3页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家社会科学基金资助项目(07XJY038);国家自然科学基金资助项目(60962006)

摘　　要：以最小化条件风险价值CVaR为目标函数,考虑资金限制,建立套期保值模型来研究多品种期货套期保值的套保比率问题。以资金限制为约束,避免了套期保值者因资金短缺而强制平仓造成的套保失败。实证结果表明,多品种的单位风险收益比单品种的大,说明多品种较单品种能更好地实现套期保值。Conditional value at risk of hedging was taken as an objective function to achieve its minimum,a multi-spot commodity future hedging decision-making model was set up based on capital constrain to solve the problem of hedging ratio.This model considers the influence of capital constrain to avoid forced liquidation due to shortage of funds which results in hedging failure.The empirical results show that the return of multi-spot commodity future hedging is bigger than that of single future hedging,which explains why the former can better realize hedging than the latter.

关 键 词：套期保值 套保比率 条件风险价值 资金限制 

分 类 号：F830.59[经济管理—金融学]