Release Time:2022-07-01  Hits:

Indexed by: Journal Article

Date of Publication: 2022-06-29

Journal: 系统工程学报

Institution: 经济管理学院

Issue: 1

Page Number: 50-54

ISSN: 1000-5781

Abstract: Using returns variance minimization of hedging as an objective function, a multi-spot commodity to multi-futures commodity optimal decision-making model is set up. The contribution of the model lies in two aspects: The first is that the optimal hedge ratio can be worked out according to the total portfolio risk after the risk of two or more portfolios is added nonlinearly. The problem that how to determine the optimal hedge ratio of the total portfolio is solved while allocating a new portfolio. The second contribution is that the multi-spot commodity to multi-futures commodity optimal decision-making model is built.

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