作　　者： ; ;

机构地区： 五邑大学管理学院

出　　处： 《科技创业月刊》 2007年第9期68-70,共3页

摘　　要： 期货套期保值模型的研究经历了传统全额套期保值、线性回归、线性均值-方差三个发展阶段。目前,最常用的决策模型是马柯维茨线性均值-方差模型,但该模型无法描述决策者效用的非线性特征,无法分析现货价格预期对套期保值决策的影响。基于此,有学者对非线性均值-方差模型做了初步探索。在对以往模型进行系统评述的基础上,建立了一个更为一般的非线性模型,以期能更准确地描述那些在较小风险时考虑投机,在较大风险时规避风险的决策行为。 The research about futures hedging model has experienced three stages of development-traditional hedging, linear regression, Linear mean variance. Currently, the most commonly used model is linear Markwitz mean variance model. However, the model could not describe the decision-makers nonlinear effectiveness characteristics, or analyze the influence how the expected cash price affect the decision-making hedging. Because of this, recently some scholars have made a preliminary exploration about nonlinear mean-variance model. Based on the previous model, this paper builds a more general nonlinear model, with a view to more accurately describe the decision-making behavior, which will consider speculation in small risk and avoid risks in great risks.

关 键 词： 套期保值 期货 均值 方差 非线性模型

领　　域： [经济管理]