| 基于CVaR的期货套期保值决策模型 |
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| 引用本文： | 安俊英,张卫国.基于CVaR的期货套期保值决策模型[J].上海理工大学学报(社会科学版),2009,31(4). |
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| 作者姓名： | 安俊英 张卫国 |
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| 作者单位： | 上海理工大学,理学院,上海,200093? |
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| 基金项目： | 上海市重点学科建设资助项目? |
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| 摘 要： | 利用CVaR控制期货套期保值资产组合的风险限额,构建以CVaR为目标函数的期货套期保值决策模型,从而求出空头和多头不同策略下的CVaR最优套期保值比,并给出套期保值行为的绩效分析,最后结合实例进行分析.
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| 关 键 词： | 套期保值 最优套期保值比 |
Futures hedging strategy model based on conditional value at risk |
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| AN Jun-ying,ZHANG Wei-guo.Futures hedging strategy model based on conditional value at risk[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2009,31(4). |
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| Authors: | AN Jun-ying ZHANG Wei-guo |
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| Institution: | College of Science;University of Shanghai for Science and Technology;Shanghai 200093;China |
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| Abstract: | By the use of CVaR,the optimal futures hedging strategy model based on conditional value at risk is set up,so the optimal hedging ratios for short and long hedging are obtained,and hedging performance is defined for evaluating the hedging action.An example is given for demonstration. |
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| Keywords: | CVaR |
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