The Optimization Hedging Model Based on the Combination Forecast Method

被引：0
|
作者：
Zhi, Hongyan [1 ]
Yang, Zhongyuan [2 ]
机构：
[1] China Univ Petr, Coll Math & Computat Sci, Dongying, Shandong, Peoples R China
[2] Dalian Bank, Dalian, Peoples R China
来源：
ECBI: 2009 INTERNATIONAL CONFERENCE ON ELECTRONIC COMMERCE AND BUSINESS INTELLIGENCE, PROCEEDINGS | 2009年
关键词：
futures; futures hedging; combination forecast; hedge ratio; FUTURES; VARIANCE; RATIOS;
D O I：
10.1109/ECBI.2009.17
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, the combination forecast method is presented by using minimizing the Theil-Coefficient of the ARCH and GARCH and ARIMA method. The prices of cash and futures are forecasted combination forecast method. The optimal minimum variance hedging ratio is obtained by using the combination forecast results. The contribution is that combination forecast method combines the advantages of the single forecast method, and to avoid the shortcomings of a single forecast method. The predicting precision could be raised, which contribute to the decision making of hedger and enhancing the hedging effectiveness.
引用
收藏
页码：265 / +
页数：2
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