【摘要】：套期保值對(duì)于企業(yè)對(duì)沖風(fēng)險(xiǎn)有重要的作用,但對(duì)金融衍生產(chǎn)品的不當(dāng)使用導(dǎo)致對(duì)沖過(guò)度,從而放大企業(yè)風(fēng)險(xiǎn)。如何評(píng)價(jià)套期保值的事后績(jī)效成為重要的研究課題。利用連續(xù)時(shí)間下的動(dòng)態(tài)復(fù)制方法,以平均利潤(rùn)作為績(jī)效評(píng)價(jià)的標(biāo)準(zhǔn),從而有利于促進(jìn)套期保值業(yè)務(wù)的正常發(fā)展。
[Abstract]:Hedging plays an important role in the hedging of enterprises, but the improper use of financial derivatives leads to excessive hedging, thus amplifying the risks of enterprises. How to evaluate the post-performance of hedging has become an important research topic. By using the dynamic replication method under continuous time, the average profit is taken as the standard of performance evaluation, which is helpful to promote the normal development of hedging business.
【作者單位】： 中國(guó)社會(huì)科學(xué)院研究生院金融所;
【分類(lèi)號(hào)】：F832.5

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本文編號(hào)：2241128