期货最优套期保值比率研究评述

套期保值、价格发现、资产配置是期货市场的三大基本职能。而在这三种职能中，最为重要的是套期保值，它是期货市场得以生存和发展的关键动因。在国内外套期保值研究中，最优套期保值比率的估计是套期保值研究最为核心的问题。而运用期货套期保值理论进行实践更是随着套期保值比率估计模型的不断优化、完善而向前发展的，本文通过对国内外套期保值研究相关文献进行分类，整理，综述，梳理出最优套期保值比率估计的研究思路和相关实证技术路线，概括出国内外最优套保比率的研究框架，以此来向国内相关研究学者指出未来的进一步研究方向，同时对国内期货交易主体进行套期保值操作提供了估计模型的选择建议。

A Review on the Optimal Hedging Ratio of Futures Study

The three basic functions of futures market are hedging, price discovery and asset allocation, and a- mong them the most important is hedging which is the key to the survival and development of the futures market. In the hedging study at home and abroad, the key research question is the estimate of the optimal hedging ratio. The practice guided by futures hedging theory is developing unceasingly, which has accompanied by the perfection and improvement of optimal hedging ratio estimation model. Based on the classification and summarization of hedging research at home and abroad, this paper tidies up the research thought of the optimal hedging ratio estimation and related empirical technical route, outlining a research framework of the optimal hedge ratio at home and abroad so as to point out the future direction of further research to the related domestic scholars and provide choice suggestion of estimation model for the hedging operations of domestic futures trading main body.