کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1144192 1489617 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal Model of Strip-and-Roll Hedge based on the Min-Variance
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Optimal Model of Strip-and-Roll Hedge based on the Min-Variance
چکیده انگلیسی

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

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Systems Engineering - Theory & Practice - Volume 29, Issue 12, December 2009, Pages 163-174