J Shanghai Jiaotong Univ Sci

Journal of shanghai Jiaotong University (Science) ›› 2016, Vol. 21 ›› Issue (1): 51-56.doi: 10.1007/s12204-016-1698-z

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Price Fluctuation, Risk Hedge and Choice of Optimal Point

Price Fluctuation, Risk Hedge and Choice of Optimal Point

ZHAO Chengzhen1* (赵成珍), BU Wei2 (卜伟), SONG Jinling3 (宋锦玲)   

  1. (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)
  2. (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)
  • Online:2016-02-29 Published:2016-03-21
  • Contact: ZHAO Chengzhen (赵成珍) E-mail: zhaochengzhena@163.com

Abstract: 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.

Key words: market-entering point| hedging ratio| replication principle

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.

关键词: market-entering point| hedging ratio| replication principle

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