展期套期保值策略研究

On Rolling Strategy of Hedging

  • 摘要: 分析了展期套期保值者头寸的价值变化量,研究了展期套期保值的修正基差和基差风险,根据展期套期保值者头寸价值变化量的分析,建立了展期套期保值模型,得出了展期套期保值的最优套期保值比率和最小展期套期保值基差风险,并应用精算学中的分摊方法,给出对展期套期保值进行动态跟踪调整的策略。

     

    Abstract: In this paper, we analyzed the change in the value of rolling hedger's position and studied the basis of rolling hedge and basis risk. The rolling hedge model is estabilished based on the change in the value of rolling hedger's position and drove out the optimal hedging ratio and the minimum rolling basis risk. The dynamic adjustment was discussed in the paper on the basis of the sharing idea from actuarial science.

     

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