Optimal Model Of Hedging Based On The Deposit And Increment Portfolio

The fimction of risk transfer in futures markets mainly implements by hedging, so the key issue of futures markets is the determination of hedge ratio. On the basis of considering risk nonlinear adding of the deposit and increment,, this paper sets up the multi-commodity to multi-commodity optimal decision-making model and optimal model of hedging based on New and old Portfolio of the maximum return probability(1)In research of the multi-commodity to multi-commodity optimal decision-making model, The paper Puts forward of the principle of risk nonlinear adding of the deposit and increment, and using the returns variance minimum of hedging as objective, the multi-commodity to multi-commodity optimal decision-making model is set up. The contribution characteristics of the model lies on three aspects: The first contribution 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 optimal hedge ratio can be ensured by building the relationship of the portfolio risk and the deposit and increment risk. The building of whole risk constraint of the total portfolio solves the problem that how to ensure the hedge ratio of the total portfolio while allocating a new portfolio. The second contribution is that by building the multi-commodity to multi-commodity optimal decision-making model, the problem that how to ensure the hedge ratio of the total portfolio is solved while more different spots and futures are owned. The third contribution is that the returns variance minimum of hedging model is the one example of our model.(2)In research of optimal model of hedging based on New and old Portfolio of the maximum return probability, The paper Puts forward of the principle of the maximum return probability. And using the unit risk-return maximum as objective function and the return of total porfolio as constraint, optimal decision-making model for incremental portfolio based on the maximum return probability is set up. The contribution characteristics of the model lies on three aspects: The first contribution is that two basic conditons: the maximam unit-risk income and the total porfolio return bigger than 0 was obtained by the central limit theory to ensure the total income be bigger than 0. The second contribution is that the optimal hedge ratio of incremnt porfolio can be worked out to solves the problem that how to calculate the hedging ratio of new portfolio in order to ensure the maximum probability of hedging return of total porfolio when the hedging ratio of old portfolio is invariability. The third contribution is that how to ensure the risk of the total portfolio while allocating a new portfolio by building the function of risk nonlinear addition between increment and old portfolio. The forth contribution is that the optimal goal simultaneously give attention to the income and the risk.