系统管理学报2013，Vol.22Issue(1)：91-98,8.
考虑机会成本的最优期货备用保证金需求
A Study on Reserve Margin of Futures Markets Considering Opportunity Cost
摘要
Abstract
It may bring opportunity cost when the reserve margin of futures is excessive or not enough. Assuming the investor can borrow money from banks or other institutions in time, this paper constructs reserve margin models of single trading day and multi-trading day aimed at minimizing the opportunity cost of the reserve margin. The theory and methods of GARCH-VaR models is used to decide the best reverse margin. An empirical study is carried out to test this model and method with data of copper futures from Shanghai Futures Exchange. The investors can achieve minimum opportunity cost based these models. Reserve margin level and opportunity cost are negatively related with short-term risk-free return rate, but positively correlated with short-term lending rate.关键词
期货/套期保值/备用保证金/机会成本/GARCH-VaR模型Key words
futures/ hedging/ reserve margin/ opportunity cost/ GARCH-VaR models分类
管理科学引用本文复制引用
廖萍康,张卫国,傅俊辉..考虑机会成本的最优期货备用保证金需求[J].系统管理学报,2013,22(1):91-98,8.基金项目
国家杰出青年科学基金资助项目(70825005) （70825005）
广东省高等学校珠江学者岗位计划资助项目(2010) （2010）
