Hedge Model Based On Interval Number Programming

hedge means to buy(or sell)some standardized contract in future market while in on-hand merchandise market to trade same commodity or financial instruments on the opposite,so that to compensates the loss in on-hand merchandise market. That is,the goal of the hedge is to avoid the price risk.The financial market has very strong uncertainty,and the uncertainty contains the fuzziness and randomness.In this complex financial system,because of the market's fuzziness and randomness and all kinds of factor which affect the market, the investor is very difficult in giving a precise value of expected basis.In the hedge research area,the traditional hedge combination model is established in the probability,but the shortcoming of probability distribution is that it is very difficult to transfers judge subjectively into the probability.The investor needs to unifies the quantitative analysis method and the qualitative analysis method. With both expert's knowledge and the experience,as well as the good existing historical data,can make the correct investment strategy.The financial market's uncertainty is caused by the numerous investor's behavior's interactions.The uncertainty is the most main difficulty in the decision analysis research.Because the fuzziness is also one important factor of the financial market's uncertainty,the investment decision analysis based on the fuzzy decision-making theory and the possible theory is a powerful tool to solve the investment decision question.The interval number is a kind of special fuzzy number,the interval number method is a powerful tool to deal with the uncertainty issue.Especially when it does not have the enough empirical datum to obtain the parameter of the probability density function,this method is more suitable compared with analysis method based on the theory of probability.This article was carries on the fuzzy analysis to the hedge risk,has given a series of hedge models based on interval number programming. The first chapter is the introduction,introduced the hedge definition,the cardinal principle,as well as the hedge theory's development and the domestic and foreign scholars's achievement who studies in this domain the related,the second chapter introduced the interval number's concept,has given the definition to the interval number's operation and the comparison.The third chapter is based on the clear number hedge model,proposed the interval number hedge model,and further has given the interval number combination hedge model,simultaneously has given the proof to its validity.The fourth chapter is based on Speranzazai's Semi Absolute Deviation function,proposed Semi Absolute Deviation hedge model,melts the hedge model for the standard linear programming model,based on this and has given solution method based on the sector inequality satisfaction index,the fifth chapter is in view of one kind of special stock:The index stock,with CAPM,proposed the stock combination hedge interval number strategy.