基于Mean-CVaR约束的股指期货动态套期保值模型研究OA北大核心CHSSCDCSSCICSTPCD
Dynamic Hedging Model of Stock Index Futures with the Mean-CVaR Constraint
本文建立了基于最小化均值-条件风险价值( Mean-CVaR)的股指期货动态套期保值模型.模型的主要特点与贡献在于两方面:一方面,考察了置信水平和可变交易费用对最优套期保值决策的影响；另一方面,利用二元误差修正的时变条件相关GARCH模型估计套期保值比率,优点是不仅考虑了股指期货与现货价格序列之间存在的协整关系,而且更好地拟合了收益残差序列存在的异方差性与相关系数时变性的特征.最后通过对我国沪深300指数期货仿真交易的套期保值模拟与实证测算,得出…查看全部>>
Stock index futures are a financial derivative developed in 1980s and have the largest transaction size in the world. As an important financial innovation, stock index futures play a vital role in the process of developing a stock market. It can be used to hedge market systematic risk caused by spot price fluctuations. However, the hedging function of stock index futures is dependent on the determination of hedging ratio. Determining the hedging ratio approp…查看全部>>
柴尚蕾;郭崇慧
大连理工大学系统工程研究所,辽宁大连,116024山东师范大学管理科学与工程学院,山东济南,250014
管理科学
股指期货套期保值条件风险价值多元GARCH
stock index futures hedge Conditional Value at Risk Multivariate GARCH
《管理工程学报》 2012 (2)
独立成分分析的有效算法及应用研究
141-147,118,8
国家自然科学基金资助项目(10571018,70871015)
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