The development of the futures hedging decision-making model
The research on futures hedging model has experienced three stages of traditional hedging, linear regression, and linear mean-variance model. At present, the most commonly used model is linear mean- variance model. However, the model could not describe the hedger nonlinear utility characteristic, or analyze the influence how the forecasting cash price affects the hedging decision-making. Based on the previous models, this paper builds a more general nonlinear mean-variance model, with a view to more accurately describe the decision-making behavior, in which hedger will consider speculating in small risk and focus only on hedging in great risk.
futures hedging mean-variance decision-making nonlinear
Meiqing Zheng Changzheng Huang
School of Management, Wuyi University, P. R. China, 529020
国际会议
北京
英文
746-749
2007-08-18（万方平台首次上网日期，不代表论文的发表时间）