基于风险最小化的期货套期保值比率的确定

现实中有不少期货合约的套期保值会有损失,即面临基差风险,期货套期保值只是通过使结果更确定以减少风险,用基差风险取代现货市场价差风险。通过对套期保值避险原理和基差风险的阐述,应用概率统计的方差分析和微积分知识,采用数学推理来确定最佳套期保值比率,使风险最小化。说明通常假定的套期保值比率为1并非最佳。

The Ascertainment of Future Hedge Ratio for Minimum Risk

In real life, the hedge of quite a few future contracts will lose their value,in other word, they will face basic risk. Future hedge ratio aims to reduce risks by replacing price risk in spot market with basic risk, which can determine the risk. This paper, with an introduction of basic risk and risk-avoiding theory of hedge ratio, shows the reader a new way to ascertain the best hedge ratio for the minimum risks by applying mathematical knowledge such as probability statistics and analysis of variance to the inference process. It concludes that 1 is not the best hedge ratio though it was frequently assumed so.