【摘要】 对期货市场组合套期保值策略和保值风险进行了分析,给出组合套期保值率的最小二乘估计和保值风险的估计。研究组合套期保值的效率和参加组合的每种期货的效率,并给出了它们的估计量。这样可以用估计量度量组合套期保值降低风险的程度和每种期货在组合套期保值中贡献的大小。使套期保值的理论得到进一步发展,以使投资者可以更好地运用套期保值策略。更多还原

【Abstract】 This paper analyses the strategy of the combination hedge in futures markets and its risk, and we get least squares estimation of the hedge ratio and its risk We study the efficiency of futures combination hedge and each future We get the estimation of the efficiency Thus we can measure the degree of the risk of combination hedge and each future The theory of combination hedge may further develop The investor can apply fairly the combination hedge strategy更多还原