The Research of Enterprises to Avoid Systemic Risk Based on Replication Technology of Finance Engineering

摘要：

On the question of optimal hedging ratio, the paper firstly draws the chance to choose market-entering point into the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedging ratio of the model, which gives the theoretical support to the practice. The conclusion is obtained that we should not only concern on the market-entering point, but also the period of the hedge still influence the effect of hedging. But only the period of hedging gives its affection if the time relatively long.

关键词： market-entering point hedging ratio replication principle

作者: Chengzhen Zhao Baosen Wang

作者单位: Postgraduate Department of Beijing Wuzi University 101149 Beijing China School of Economic of Beijing Wuzi University Beijing China

会议类型: 国际会议

会议名称: 2010 International Conference on Information Technology and Industrial Engineering(2010年信息技术与工业工程国际学术会议 ITIE 2010)

会议地点: 武汉

会议语种:英文

页码: 189-192

在线出版日期: 2010-06-06（万方平台首次上网日期，不代表论文的发表时间）