摘要
将规避逐日盯市风险引入到期货套期保值模型的研究中。给出规避逐日盯市风险的约束条件,建立自有资金情况下考虑规避现货价格风险和逐日盯市风险的期货套期保值模型,并采用图解方法给出该情况下的最优套期保值比率的解析式,研究自有资金不足、需要借入资金情况下应该如何选择最优的套期保值比率,以获得最佳的套期保值效果,以上海期货交易所期铜的套期保值为例,说明逐日盯市风险对于套期保值的影响以及模型的适用性。研究结果表明,在套期保值资金有限的情况下,如果不考虑保证金制度和逐日盯市制度的施行对于套期保值的影响,传统的方差最小方法很可能会出现保证金不足的情况,从而面临强行平仓的风险,而本模型可以规避这种风险。
This paper introduced mark-to-market risk into the conventional futures hedging framework.First,we established the constraints of avoiding the daily mark-to-market risk and proposed futures hedging model in the case of own funds,in which both the mark-to-market risk and the spot price risk were considered.Then we gave the optimal hedge ratio in the case of own funds by using graphical methods.In addition,we studied how to choose the optimal hedge ratio in the situation of borrowing money.Finally,we took the copper futures hedging of Shanghai Futures Exchange as example to illustrate the impact of the daily mark-to-market on hedging and the applicability of the model.We find that if we don′t consider the implementation impact of the margin system and the daily mark-to-market on hedging in the case of limited hedge funds,it is likely that the utilization of the minimum-variance model will lead to an insufficient margin so as that the investor will face the mark-to-market risk.Instead of that,the model proposed in this paper can eliminate mark-to-market risk.
出处
《管理科学》
CSSCI
北大核心
2011年第3期86-93,共8页
Journal of Management Science
基金
国家自然科学基金(70825005
70801027)
教育部新世纪优秀人才支持计划(NCET06-0749)
教育部人文社会科学研究规划基金(07JA630048)~~
