作　　者： ;

机构地区： 广西科技大学管理学院

出　　处： 《系统工程》 2004年第1期74-77,共4页

摘　　要： 在传统套期保值策略中,仅仅是根据套期保值基差风险最小化确定套期比,这就存在很多缺陷。对这种情况,我们同时考虑基于当前价格的套期保值收益和风险,得到套期保值收益与风险的比率。通过使收益与风险比率的最大化来解出套期比,并说明这样的套期比具有较好的优良性质,而且传统的套期保值策略仅是其中的特殊情况。另外,还得到判断期货、现货的当前价格是适合空头套期保值还是适合多头套期保值的方法,使投资者能够更好地掌握买卖时机和数量。 In traditional hedge strategy, the hedge ratios are only solved according to minimizing basis. It has some shortcomings. For this situation, we consider both the profits and the risks in the futures hedge based on present price. So it is got the ratio between profits and risks. New hedge ratios are solved through maximizing the ratio between profits and risks. It is illuminated that the hedge ratio has good qualities. The traditional hedge is only a special case. In addition, the method is provided for that we judge the present price to fit short hedging or long hedging. The investor can better grasp the opportunity and the quantity for buying and selling.

关 键 词： 期货市场 套期保值 价格风险 期望收益

领　　域： [经济管理] [理学] [理学]