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| 盯市风险下的期货套期保值 | |
| 引用本文： | 连大祥,李安龙,张湄.盯市风险下的期货套期保值[J].上海金融学院学报,2007(5):5-10. |
| 作者姓名： | 连大祥 李安龙 张湄 |
| 作者单位： | 1. 美国德克萨斯州立大学圣安东尼奥分校经济系 2. 美国XL气象与能源公司 3. 上海金融学院国际金融保险学院 |
| 摘 要： | 本文把盯市风险引入传统的期货套期保值框架，论证了在考虑盯市风险的情况下，一个关注每日最大亏损值的套期保值者会显著地减少他的期货头寸。在一个中期的套期保值期内，该套期保值者的期货套期保值头寸约为其现货头寸的80％。盯市风险的影响随着套期保值期的延长而缓慢减弱。如果套期保值者关注的是每日平均亏损值，在一个中期的套期保值期内盯市风险的影响极小。 |
| 关 键 词： | 期货套期保值 盯市风险 最优套期保值率 |
| 文章编号： | 1673-680X（2007）05-0005-06 |
| 修稿时间： | 2007-03-20 |
Futures Hedging Under Mark-to-Market Risk |
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| Lien Daxiang, Li Anlong.Futures Hedging Under Mark-to-Market Risk[J].Journal of Shanhai Finance University,2007(5):5-10. | |
| Authors: | Lien Daxiang Li Anlong |
| Abstract: | This article introduces mark-to-market risk into the conventional futures hedging framework. It is shown that a hedger concerned with maximum daily loss will considerably reduce his futures position when the risk is taken into account. In case of a moderate hedge horizon, the hedger will hedge approximately 80% of his spot position. The effect of mark-to-market risk decreases very slowly as the hedge horizon increases. If the hedger is concerned with average daily loss, the effect is minimal for a moderate hedge horizon. |
| Keywords: | futures hedging mark-to-market risk optimal hedge ratio |
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