期貨避險：靜態實例

Abstract

這篇論文重新探討在不同定義的風險指標的期貨理論避險值。在期貨價格趨勢是公正的情況之下，在不同定義的風險指標的期貨避險值是同等於風險指標在變異數情況最小的避險值。我們也介紹符合實際日報酬的雙曲線分配，並且把它應用在廣義的半變異數的求期貨避險值上。最後，我們比較了不同市場上的在不同風險指標上的期貨避險值。特別的，我們提出在雙重雙曲線分配方法下的條件關係係數，並且應用在控制廣義的半變異數期貨避險值上。

This paper presents a review of different theoretical approaches to the optimal futures hedge ratios. Under current futures prices are unbiased, different hedge ratios are the same as the minimum variance hedge ratio. We introduce the class of hyperbolic distributions which can be fitted to the empirical log-returns with high accuracy, and simulate it to estimate GSV hedge ratio. Last, we compare these futures hedge ratios in several markets. In particular, we propose conditional correlations with a bivariate hyperbolic distributions method to dominate GSV hedge ratios.