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Date of Publication:2010-01-01

Journal:中国管理科学

Affiliation of Author(s):经济管理学院

Volume:18

Issue:3

Page Number:17-24

ISSN No.:1003-207X

Abstract:The hedger position's value alteration is analyzed, and using the
   dynamic programming method, the multi-period futures dynamic hedging
   optimal model is set up. At the same time, the dynamic multi-period
   strategy is derived. The characteristic lies on three aspects. Firstly,
   the model reflects the effect of hedging trade cost. This solves the
   problem of the existing hedging strategies ignoring the impact of trade
   cost, and improves the model's precision and accuracy. Secondly, the
   impact of futures margin is taken into account. The futures margin's
   opportunity loss is brought into hedging strategies, which gives a true
   picture of futures margin existing opportunity loss without interest
   return. Thus the model remedies the limitation that existing literatures
   have no regard of the futures margin's opportunity loss. Thirdly, the
   principle of the maximum return of the hedger is considered. The
   malpractice that would only consider the price risk and ignore the
   futures and spots portfolio's profit is solved. This guarantees the
   model's practicality and utility

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