上海交通大学学报（英文版） ›› 2016, Vol. 21 ›› Issue (1): 51-56.doi: 10.1007/s12204-016-1698-z
Price Fluctuation, Risk Hedge and Choice of Optimal Point
ZHAO Chengzhen1* (赵成珍), BU Wei2 (卜伟), SONG Jinling3 (宋锦玲)
- (1. Guanghua School of Management, Peking University, Beijing 100871, China; 2. Beijing Center for Industrial Security and Development Research, Beijing Jiaotong University, Beijing 100044, China; 3. School of Finance, Central University of Finance and Economics, Beijing 100081, China)
Price Fluctuation, Risk Hedge and Choice of Optimal Point
ZHAO Chengzhen1* (赵成珍), BU Wei2 (卜伟), SONG Jinling3 (宋锦玲)
- (1. Guanghua School of Management, Peking University, Beijing 100871, China; 2. Beijing Center for Industrial Security and Development Research, Beijing Jiaotong University, Beijing 100044, China; 3. School of Finance, Central University of Finance and Economics, Beijing 100081, China)
摘要： On the question of optimal hedge ratio, this paper firstly draws the chance to choose a market-entering point to the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedge ratio of the model, which gives the theoretical support to the practice. We should not only concern on the market-entering point, but also concern on the period of the hedge that still influences the effect of hedging. But only the period of hedging gives its affection if the time is relatively long.
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