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论文类型： 期刊论文

发表时间： 2022-06-29

发表刊物： 系统工程学报

所属单位： 经济管理学院

期号： 1

页面范围： 50-54

ISSN号： 1000-5781

摘要： 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.

备注： 新增回溯数据