具有偏度的最优套期保值比率模型

Systems Engineering - Theory & Practice Pub Date : 2009-09-01 DOI:10.1016/S1874-8651(10)60067-1

Long-bin ZHANG, Chun-feng WANG, Zhen-ming FANG

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引用次数: 2

摘要

本文建立了一个具有偏度的最优套期保值比率模型，并推导出了当现货和期货收益的共偏度为零时，最优套期保值比率退化为均值-方差套期保值比率的解析解。实证结果表明，具有偏度的套期保值模型比传统的均值-方差套期保值模型效果更好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal Hedging Ratio Model with Skewness

In this article, we develop an optimal hedging ratio model with skewness and derive the analytical solution of the optimal hedging ratio which can degenerate to mean-variance hedging ratio when co-skewnesses of spot and futures returns become zero. The empirical results suggest that the hedging model with skewness performs better than the traditional mean-variance hedging model.

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Systems Engineering - Theory & Practice

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