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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. |
| 关键词: 期货合约 风险价值 套期保值 增广拉格朗日算法 |
| DOI： |
| 分类号:F830.9 |
| 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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| THE OPTIMAL FUTURES HEDGING STRATEGIES WITH VAR |
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ZHANG Mao-jun,NAN Jiang-xia,YUAN Gong-lin
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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. |
| Key words: futures contract value-at-risk hedging augmented Lagrangian algorithm |
