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Date of Publication:2009-01-01

Journal:系统工程学报

Volume:24

Issue:5

Page Number:515-522

ISSN No.:1000-5781

Abstract:Using the returns variance minimum of hedging as objective
   function,using skewness to control right-skewed income distribution to
   reduce the probability of significant risks and regarding it as
   constraints,a hedging profit variance-skewness optimization model is set
   up.The novelties of the model are firstly that the probability of the
   total loss is controlled with the right deflection distributing of
   hedging returns.Then the total risk of hedging is avoided.Secondly,the
   model uses combinatorial hedging of multi-futures to single spot to
   enhance the effectiveness of hedging.That solves the risk problem rising
   from one-futures to hedge single cash.Thirdly,it superposes the
   multi-futures to single cash combination risk by using the nonlinear
   hedging principle.The combination risk is calculated with the matrix of
   futures and spot' s yield,which reflects the nonlinear superposition and
   nonlinear hedging.By comparative analysis,the hedging model can
   effectively reduce the risk of the hedging and enhance the effectiveness
   of the hedging.

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