摘要
介绍了最小方差风险套期保值策略和最大效用套期保值策略 ,提出了考虑交易费用情况下各套期策略的变化。利用上海金属交易所期铜的数据进行深入实证分析 ,并比较了经典套期比。
With an introduction to minimum-variance hedging method and maximum-utility hedging method, this paper studies how to adjust these hedging methods while taking transaction costs into consideration. We empirically study copper in Shanghai Metal Exchange and show a relationship among traditional hedging ratio、minimum-variance hedging ratio and maximum-utility hedging ratio.
出处
《系统工程理论方法应用》
1998年第4期20-26,31,共8页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助 ( 795 0 0 0 1 1 )
上海市重点学科资助
