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现有的套期保值主要集中在套期保值比率的研究,主要的方法有基于回归技术的确定方法以及基于均值/方差技术的确定方法。本文尝试将金融价格预测方法融合到套期保值中,建立了一个基于基差和价格预测的对套保比率缩放的思路,而具体的缩放阈值及比率则根据个人的风险偏好来确定。
The existing hedging mainly focuses on the study of hedging ratio. The main methods are the determination method based on regression technique and the determination method based on mean / variance technique. This paper attempts to integrate the financial price forecasting method into hedging, and establishes a way of scaling the hedging ratio based on the basis of price difference and price forecasting. The specific scaling thresholds and ratios are determined according to individual risk appetite.