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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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无漂移算术布朗运动下股指期货套期保值连续出清策略
, PP. 10-15
Keywords: 股指期货,套期保值,出清策略
Abstract:
？假定股票和期货服从无漂移项的算术布朗运动，投资者效用为均值-方差形式，价格冲击为线性，在连续时间框架下，求解单只股票与股指期货套期保值同步出清问题，得到出清轨迹。参数分析表明：当风险厌恶程度较大时、组合标准差越大，投资者倾向于在出清初期出清较大规模的头寸，以降低后期的风险；当ρ<0，随套期保值比的增加，投资者更倾向于快速的出清过程，当ρ>0则相反；在给定套期保值比的情况下，出清速率与相关系数呈反向变化。
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