【摘要】 武器采购中常常涉及到汇率风险 ,避免汇率风险的方法是在外汇市场上购买期货合约以进行套期保值。本文对套期保值策略进行了研究。文中基于Markowitz资产组合理论提出了考虑期货交易费用的复合套期保值的最小方差风险策略 ,建立了该套期保值策略的数学模型 ,并求得相应的套期保值比。一个简单的算例验证了本文提出的套期保值策略可以获得更好的套期保值效果更多还原

【Abstract】 Exchange rate risks often occur in the process of weapon purchase. The general method to avoid exchange rate risks is through buying foreign exchange in future for hedging. The hedging strategy was studied. Based on the Markowitz capital combination theory, a compound hedging method considering transaction costs was proposed and the corresponding mathematical model was presented. Minimum-variance hedging ratio thus was obtained. Results of a weapon purchase example show that the new hedging method can turn out better hedging ratios than the traditional hedging method and compound hedging method, taking no account of transaction costs.更多还原