The Research Of Futures Optimal Hedge Ratio Based On Bilateral Risk Measuring Method

In this paper,wc first review the history of the development and present status of hedging strategies,then introduce several widely used risk measurement meth-ods-VaR and CVaR etc.On these basis,we propose a bilateral risk measurement method base on CVaR and excess return.Finally,bilateral risk measurement method is used in futures hedging strategy, and futures optimal hedging model based on bi-lateral risk measurement methods is established.Then,select the unit of risk returns as a measure of hedging effect and compare hedging effect with existing hedging models based on minimum variance,VaR and CVaR.Existing minimum variance,VaR and CVaR hedge ratio models are a special case of the model that we establish based on the bilateral minimum risk.The em-pirical results show that the effect of hedging based on the proposed model is best among minimum variance,VaR and CVaR hedging models.In a way,it can be said that bilateral risk measurement method is a superior method of risk measurement and provides more effective basis for investment decisions of investors.