The Research On The Optimal Futures Hedging Model Based On The Minimum Risk

Hedging is to buy or sale the futures contracts with equal amounts and reverse trade directions of the current market,so as to compensate the real price risks caused by price changes in the current market by sale or buy the futures contracts at a certain time in the future.The key issue of futures markets is to determine hedge ratio.The research of the hedge model is not only an essential consideration of the hedger,but also a key issue of the futures markets.Determining the hedge ratio through the hedging model can made hedge be more effective,and averse the risk of cash markets.There are five chapters in this paper.The first chapter is about the issue selection gist. relative research review,research approach,technical route,and research content.The second chapter is the research on the optimal model of the single hedging.The third chapter is the research on the optimal model of the combinatorial hedging.The fourth chapter is the research on the optimal model of strip-and-roll hedge.The fifth chapter is the conclusion and expectation.The main work of the paper is shown as follows.1 The optimal model of the single and combinatorial hedging based on the constraints of total loss is established.The paper takes the positive profit skenewss as constraint of serious loss' probability, which the tail of curved shape on density function of the hedging yield elongates right,and the left tail become short.The distribution of hedging yield which the skenewss is positive can reduce probability of inverse gain of hedging and enhance the probability of positive gain of hedging.Therefore,the probability of great loss of hedging is reduced.In a word,the model changes the phenomenon of the present researches which only control the hedging risk and ignore the great loss of hedging.2 The optimal model of cross hedging based on minimum fuzzy-variance is established.This paper put forward a minimum fuzzy-variance optimal cross hedging model on the basis of MV hedging model.This paper use membership function to give little weight to the big dispersion degree of the futures and cash yield,which change the short precision of the risk of hedging because of the normal single day return fluctuation of hedging in the present research.The nonlinear combination risk of the hedging is calculated by the fuzzy matrix of futures and cash yields,which reflects the nonlinear superposition and nonlinear hedging. Which solve the problem that the hedging can not effectively conducted because of no price-related of futures and cash,when the hedging of one-futures to single cash hedging.3 The optimal model of strip-and-roll hedge based on the min-variance is established.When the longest holding period of futures contracts is shorter than the hedging period, the hedger has to use two or more futures contracts overlap to hedging for the spot.In this paper,using the shorter futures contract-by-stack to construct the hedging portfolio,which make the time of the hedging portfolio is equal to the spot's time,the optimal model of strip-and-roll hedge based on the min- variance is established.The hedging total risk on a single time series and the overlap time series is measured.The futures portfolio return is composed of a single interval of time series and interval overlap of many time series.By the each trading day return of different futures in the interval direct offsets,the multiple overlapping time series of middle interval is merged into a single time series of the futures portfolio return.Turn to the overlap consecutive time sequence into a unified and no-overlap time series,which make it possible to measure total risk of hedging according to the original definition of the variance.4 The optimal model of hedging based on Partial Moment is established.This paper use the lower partial moments reflects the loss of hedger,use the upper partial moments reflects the gain of hedger,and use the factor of risk preferences reflects the attitudes on the gain and loss of the hedger.The hedging risk is measured by the linear combination of lower partial moments and upper partial moments of hedging returns.The optimal model of hedging based on the partial moments reflects the asymmetric attitudes on the loss and gain of the hedger.The model changes the phenomenon of the present research assumption that attitudes on the loss and gain of the hedger is symmetry.