OPTIMAL HEDGING STRATEGY OF FUTURES

摘要：

The key issues of hedging include the determination of the optimal hedge ratio and the selection of hedging horizon’s length, futures contract and data frequency. In this paper, various optimal hedge ratios which depend on objective functions are calculated, and it is found that the GARCH hedge ratio has the best hedging effectiveness among them. To obtain a better hedging effectiveness, it is necessary to let the hedging horizon’s length match the data frequency, the futures contract used to hedge should be those expired time close to transaction date and the data frequency should make the original data have a lower volatility.

关键词： hedge ratio minimum variance hedging effectiveness.

作者: Zou Bin Yang Guoxiao

作者单位: School of science, Beijing Institute of Technology, Beijing, China

会议类型: 国际会议

会议名称: 2007年技术创新、风险管理暨供应链管理国际研讨会

会议地点: 北京

会议语种:英文

在线出版日期: 2007-11-01（万方平台首次上网日期，不代表论文的发表时间）