Release Time:2022-07-01  Hits:

Indexed by: Journal Article

Date of Publication: 2022-06-28

Journal: 系统工程理论与实践

Institution: 经济管理学院

Issue: 12

Page Number: 163-174

ISSN: 1000-6788

Abstract: When the longest holding period of futures contracts is shorter than the hedging period, the hedger has to use two or more futures contracts overlap to hedging for the spot.. In this paper, using the shorter futures contract-by-stack to construct the hedging portfolio, which make the time of the hedging portfolio is equal to the spot's time, the optimal model of strip-and-roll hedge based on the min- variance is set up. Firstly that by establishing the risk function of the overlap futures-contracts to gain the optimal hedging ratio, the problem controlling the total risk of complex time series is solved. Secondly, in the total hedging risk of the smallest cases, the proportion of relations of the different overlap futures is get, and then the optimal ratio of different futures in the overlap interval. Empirical studies show that the efficiency of hedging of this study is higher than the existing stack-and-roll hedge model.

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