本文選題：長期合約 + 最優(yōu)對(duì)沖策略　； 參考：《系統(tǒng)工程》2017年04期

【摘要】：石油價(jià)格的劇烈波動(dòng)給石油長期合約對(duì)沖帶來了巨大挑戰(zhàn),本文以石油期貨為工具設(shè)計(jì)了滾動(dòng)對(duì)沖方法,提出了最大單日現(xiàn)金流與最大累計(jì)現(xiàn)金流評(píng)價(jià)指標(biāo),結(jié)合方差減小比例、平均對(duì)沖比例、夏普比率,實(shí)證研究了13種對(duì)沖策略的表現(xiàn),研究結(jié)果表明,LL對(duì)沖策略的現(xiàn)金流風(fēng)險(xiǎn)與平均對(duì)沖比例兩項(xiàng)指標(biāo)優(yōu)于其他策略,VAR(1,1)對(duì)沖策略的夏普比率與方差減小比例表現(xiàn)優(yōu)于其他策略�；诖�,投資者應(yīng)根據(jù)自身風(fēng)險(xiǎn)偏好選擇適當(dāng)?shù)膶?duì)沖策略對(duì)沖石油長期合約。
[Abstract]:The sharp fluctuation of oil price brings great challenge to the long-term oil contract hedging. In this paper, a rolling hedging method is designed with oil futures as a tool, and the evaluation indexes of maximum daily cash flow and maximum cumulative cash flow are proposed. Combining variance reduction ratio, average hedge ratio and Sharp ratio, we empirically study the performance of 13 hedge strategies. The results show that the cash flow risk and average hedge ratio of all hedge strategies are better than those of other strategies. Therefore, investors should choose appropriate hedging strategies to hedge long-term oil contracts according to their own risk preference.
【作者單位】： 湖南大學(xué)工商管理學(xué)院;
【基金】：國家自然科學(xué)基金資助項(xiàng)目(71431008;71521061;71301047)
【分類號(hào)】：F713.35;F764.1

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