Interactive Compound Hedge Strategy of Stock Index Futures for Securities Portfolios

被引：0

作者：

Zeng Tingmin ^{[1
]}

Lin Xiangyou ^{[1
]}

Dai Hongxia ^{[2
]}

机构：

[1] Chengdu Univ Technol, Chengdu, Sichuan, Peoples R China

[2] Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

Stock Index Futures; Securities Portfolio; Forward Compound Hedge; Reversion Compound Hedge; Interactive Compound Hedge;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The compound hedge strategy of stock index futures hedge for securities portfolios can be developed into three kinds of situations: Changeable stock index futures hedge for fixed securities portfolios, which is called forward compound hedge strategy; Fixed stock index futures hedge for changeable securities portfolios, which is called reversion hedge strategy; Combinating the forward compound hedge strategy and the reversion compound hedge strategy, we can realize the changeable stock index futures hedge for the changeable securities portfolios, which can be called interactive compound hedge strategy. This kind of strategy can dynamically determine the best hedge ratios vector and realize better compound hedge effect.

引用

页码：3822 / +

页数：2