| 带有风险价值的最优期货套期保值策略 |
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| 引用本文： | 张茂军,南江霞,袁功林.带有风险价值的最优期货套期保值策略[J].数学杂志,2015,35(2):214-226. |
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| 作者姓名： | 张茂军 南江霞 袁功林 |
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| 作者单位： | 桂林电子科技大学数学与计算科学学院;桂林电子科技大学广西高校数据分析与计算重点实验室;广西大学数学与信息科学学院 |
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| 基金项目： | Supported by National Natural Science Foundation of China(71461005;71462004);Guangxi Natural Science Foundation(2014GXNSFFA118001;2012GXNSFAA053013;2014GXNSFAA118010);Postdoctoral Science Foundation of China(13R21414700;2013M540372) |
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| 摘 要： | 本文研究了带有风险价值约束的期货套期保值优化问题.用最优化方法获得了套期保值策略的存在性、求解模型的增广拉格朗日算法及其收敛性.文中的结果推广了期货收益率服从正态分布的单变量套期保值策略的研究,表现为用服从椭圆分布的随机变量刻画市场风险因子的厚尾特征、用风险价值控制套期保值的风险、构建了均值-VaR组合套期保值理论模型并给出了求解算法.
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| 关 键 词： | 期货合约 风险价值 套期保值 增厂拉格朗日算法 |
| 收稿时间： | 2013/6/11 0:00:00 |
| 修稿时间： | 2013/9/6 0:00:00 |
THE OPTIMAL FUTURES HEDGING STRATEGIES WITH VAR |
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| ZHANG Mao-jun,NAN Jiang-xia and YUAN Gong-lin.THE OPTIMAL FUTURES HEDGING STRATEGIES WITH VAR[J].Journal of Mathematics,2015,35(2):214-226. |
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| Authors: | ZHANG Mao-jun NAN Jiang-xia and YUAN Gong-lin |
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| Institution: | ZHANG Mao-jun;NAN Jiang-xia;YUAN Gong-lin;School of Math.and Computing Science,Guilin University of Electronic Technology;Guangxi Colleges and Universities Key Laboratory of Data Analysis and Computation,Guilin University of Electronic Technology;School of Math.and Inform.Sci.,Guangxi University; |
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| Abstract: | This article studies a futures hedging optimization problem with the value-at-risk constraint. The existence of optimal hedging strategies, an augmented Lagrangian algorithm for solving this model and its convergence are obtained by the optimal methods. The studies about the single-variable hedging strategy with the return of futures following a normal distribution are extended via our results with random variables following elliptical distributions to describe some fat tail features of the market risk factors, value-at-risk to control risk of hedging strategies, the mean-VaR portfolio hedging model and an algorithm for solving this mode. |
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| Keywords: | futures contract value-at-risk hedging augmented Lagrangian algorithm |
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