多期货交叉套期保值策略研究.docVIP

多期货交叉套期保值策略研究 朱时麟1 ，王东2 （1. 北京大学物理学院； 2. 北京大学光华管理学院，北京 100871） Study on the Cross Hedging with Futures Contracts Zhu Shilin1 ，Wang Dong2 (1. School of Physics; 2. Guanghua School of Management; Peking University, Beijing Abstract Cross hedging is of great important to financial risk management. In this paper, a least second moment method for cross hedge using multi-futures contracts was proposed. And the efficiency of cross hedging with multi-futures was analyzed. Keywords Futures, Cross hedging, Financial Engineering 摘要： 运用期货套期保值技术来规避风险，对市场参与者有重要意义。本文提出了多期货交叉套期保值的最小二阶矩方法，分析了运用多种期货工具进行交叉套期