On Multiperiod Stirp and Roll Hedging of Copper Future

摘要：

The price of copper is affected by a number of factors, the SH strategy is more predominant than the SRH strategy, but SH is limited by contract term. MSRH presented in this paper is a better strategy when hedge lifetime is relatively long. Furthermore MSRH make it no different whether the factors affecting the copper price works at the initial time or at the aftermath time of the hedge. In case of the hedge against future copper, as long as rolling period increases, the hedge performance also arises. When adopting the same number of rolling periods, as long as the asset type of future copper increases, the hedge performance does not show the up-trend in necessity.

关键词： Hedge Multiperiod Strip-and-Roll Hedge Hedge Performance

作者: Wu Haijun

作者单位: School of Economics, JiNin University, P.R.China, 510632

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-4

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）