The Study on Hedging Model based on Risk Tolerance of Hedgers

机译：基于套期保值者风险承受的套期保值模型研究。

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摘要

In this paper, Value at Risk of hedging portfolio is adopted to measure the risk of futures hedging. The control constraint based on risk tolerance of hedgers is established. The futures optimal hedge ratio is presented by maximizing the return of hedging portfolio under the control constraint. The contributions of the model are as follows: Firstly that we use VaR to construct the control constraint which reflects risk tolerance of hedgers. This method effectively avoids the huge losses suffered by hedging. Secondly, we prove the minimum variance hedging ratio and VaR hedging ratio are special cases of this model.

机译：本文采用对冲投资组合的风险价值来衡量期货对冲的风险。建立了基于套期保值者风险承受力的控制约束。期货最优套期保值比率是通过在控制约束条件下最大化套期保值投资组合的回报来提出的。该模型的贡献如下：首先，我们使用VaR来构建反映对冲者风险承受能力的控制约束。这种方法有效地避免了对冲带来的巨大损失。其次，我们证明了最小方差套期保值比率和VaR套期保值比率是该模型的特例。

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来源
《The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)（第二届商务智能与金融工程国际会议）》|2009年|378-380|共3页
会议地点 Beijing(CN);Beijing(CN)
作者
Cong Sui; Guotai Chi; Zhongyuan Yang;
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作者单位

School of Management Dalian University of Technology Dalian, P.R.China;

School of Management Dalian University of Technology Dalian, P.R.China;

Postdoctoral Workstation Dalian Bank Dalian, P.R.China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类
关键词
futures hedging; hedge ratio; Value at Risk; risk tolerance;

机译：期货套期保值；对冲比率风险价值；风险承受能力;

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The Study on Hedging Model based on Risk Tolerance of Hedgers

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