In this paper, we analysis the defects of least variance method, and advance a least second moment method of the futures hedging.
在本文我们分析最小方差法存在的缺陷，提出了套期保值的最小二阶矩方法。
And the final result indicates the hedging effectiveness of dynamic stock index futures hedging strategy is better than minimum-variance hedging strategy.
研究结论是，在效用最大化对冲目标的基础上，股指期货动态对冲策略的有效性优于最小方差对冲策略。
And the final result indicates the hedging effectiveness of dynamic stock index futures hedging strategy is better than minimum-variance hedging strategy.
研究结论是，在效用最大化对冲目标的基础上，股指期货动态对冲策略的有效性优于最小方差对冲策略。
应用推荐