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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

期号： 2

页面范围： 228-234

ISSN号： 1000-5781

摘要： Using the conditional value at risk of multi-futures hedged portfolio to measure the risk,adopting kernel estimator and Monte Carlo simulation method to simulate the profit and loss of spot and futures in the future time, a multi-futures hedging decision model based on controlling extreme risk is built. The problem of risk controlling under the extraordinary change of futures price is solved. The contributions of this paper are the following three aspects. Firstly, by minimizing the conditional value at risk of hedged portfolio, the tail loss of hedged portfolio is controlled and the extreme loss of multi-futures hedged portfolio is avoided. This model improves the effect of futures hedging. Secondly, through dispersing the complicated integral of conditional value at risk to calculate the tail area of return distribution, the model is suitable for the risk controlling of any distribution and avoids the irrationality of prior assumption.

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