Hedge ratio

This paper analyzes the financial attributes of futures contracts, demonstration of the hedge ratio should be more rational use of dynamic models.

本文通过分析期货合约的金融属性，论证更加合理的套期保值比率应该采用动态的模型。

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The optimal hedge ratio is estimated by using threshold regression model in this paper.

提出了利用门限回归模型来估计最佳套期比率的方法。

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In this paper, we studied the hedge ratio for options, we obtained the hedge ratio formula under the limited loss probability condition.

本文利用概率方法研究了以期权为套期保值工具的套期保值比率，在限定亏损概率条件下我们得出了具体的套期保值比率。

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In this paper, we will use the modified model which is based on dynamic hedge ratio model.

本文是对基于动态的套期保值比率的计算模型进行修正。

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Hedging is a common enterprise risk management strategy, the efficiency of hedging largely depends on the selection of optimal hedge ratio.

套期保值是企业常用的风险管理策略，而套期保值的有效性在很大程度上取决于套期保值比率的选择。

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Meanwhile, it will be a value for accounting and financial management officers in the companies to make a correct evaluation on calculation of hedge ratio and effectiveness of hedge in order to apply hedge accounting and hedge portfolio reasonably.

同时，对企业会计与财务管理人员正确掌握套期保值率的计算和套期保值有效性的评价方法，从而合理运用套期保值会计和套期保值投资策略也具有一定的借鉴价值。

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Second, put transaction costs into the hedge ratio and hedging performance models to make it more practical.

进一步，把交易成本问题纳入求解套期保值比率和套期保值绩效模型，使之更符合套期保值操作实际，使研究成果更有实践指导价值。

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It concludes that 1 is not the best hedge ratio though it was frequently assumed so.

说明通常假定的套期保值比率为1并非最佳。

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Optimal Hedge Ratio and the Performance of Hedging: an Empirical Analyzing of Hedging about Copper Futures of SFE in China

套期保值比率与套期保值的效绩&上海期铜合约的套期保值实证分析

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The optimal hedge ratio is smaller than the general market.

碳市场最优套期保值比低于一般市场。

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Empirical Performance of Alternative Optimal Hedge Ratio Models-Based on the Chinese Market

基于中国市场的最优套期保值比率模型绩效实证检验

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Assume investors are absolute risk averter, and it is their aim to minimize its risk, and get hedge ratio under it.

假定投资者是绝对的风险厌恶者，其保值的目的是将风险最小化，由此得到最小方差下的套期保值比率。

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Theory of optimal hedge ratio and the comparison of its estimation

最优套期比率理论及其估计方法的比较

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How to give the hedge ratio is the core problem.

如何确定套期保值的比率是套期保值的核心问题。

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As for the hedging strategy, this thesis mainly discusses its principle, the hedge ratio and the imperfect hedging strategy.

对于套期保值策略，本文主要讨论了套期保值的基本原理、套期保值比率的确定以及不完全的套期保值策略。

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This article made some relevant statistics on the proceeds sequences under the benchmark hedge ratio and strategy hedge ratio.

文章对基准保值比率和策略保值比率下的收益序列进行了相关统计。

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The Estimation and Comparison Research of Optimal Hedge Ratio for Commodity Futures

商品期货最优套期保值比估计及比较研究

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A new process is treated on the basis of C. The Ascertainment of Future Hedge Ratio for Minimum Risk

基于风险最小化的期货套期保值比率的确定

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Research on MV Hedge Ratio Based on Nonlinear Correlation

基于非线性相关的最小方差套期保值比率研究

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The Hedge Ratio for Option Trade under Limited Loss Probability

限定亏损概率下期权交易中的套期保值比率研究

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Minimum variance hedge ratio based on Copula

基于Copula的最小方差套期保值比率

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These econometric models are used to estimate the optimal hedge ratio, thus forming different hedging model.

因此学者分别将这些计量经济模型用于估计最优套期保值率，从而得到了不同的套期保值模型。

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The Econometric Analysis of the Hedge Ratio of Commodity Future

商品期货套期比率计量研究

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Hedge Ratio of Stock Index Futures Using Wavelet Analysis

股指期货套期保值率的小波分析方法

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As for the optimal hedge ratio, many scholars have done thorough researches.

对于最优套期保值比例问题，很多学者对此进行了深入的研究。

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Through the use of reasonable hedging model to determine the optimal hedge ratio, can improve the effect of hedging, to avoid market risk.

通过采用合理的套期保值模型来确定最优套期保值比率，有利于提高套期保值的效果，规避市场风险。

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Then the hedge ratio based on modern portfolio theory appeared.

于是出现了基于投资组合理论的现代套期保值比率。

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An analysis of the best hedge ratio with the futures

期货套期保值的最优套头比分析

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Multi-scale analysis on the relationship between stock index futures hedge ratio and hedging horizon

股指期货对冲比率和对冲期限关系的多尺度研究

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Determining of the Hedge Ratio for Option Trade When the Underlying Stock Price is a Renewal Jump-Diffusion Process

标的股票价格服从跳跃-扩散过程的期权套期保值率确定

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