复合套期保值

Markowitz资产组合理论在复合套期保值中的应用马科维兹资产组合选择模型旋转算法的特点

The Application of Portfolio Theory to Compound Arbitrage Characteristics of the Pivoting Algorithm for Markowitz Portfolio Selection Model

文中基于Markowitz资产组合理论提出了考虑期货交易费用的复合套期保值的最小方差风险策略，建立了该套期保值策略的数学模型，并求得相应的套期保值比。

Based on the Markowitz capital combination theory , a compound hedging method considering transaction costs was proposed and the corresponding mathematical model was presented . Minimum-variance hedging ratio thus was obtained .

运用股指期货对证券的复合套期保值战略

The strategy for compound hedging with the indexes futures

比较了最优套期保值组合策略和简单套期保值策略在套期保值效率上的差别，发现复合套期保值组合有明显的优势。

Compared with the simple hedging strategy , the cross hedging strategy is more efficient than the simple hedging one .

复合套期保值模型的旋转算法

Obviously , EVA model turns out a scientific appraisals to motivate the managers . model . Pivoting Algorithm for a Cross Hedging Model

最后，重点论述了马科维茨资产组合选择理论在复合套期保值中的应用，并用投影算法求解了一个实例。

Finally , the paper emphasizes the application of portfolio selection theory to compound arbitrage and give a example which is solved by projection algorithm .

提出了复合套期保值的概念，其基本原理是构造一个与原证券组合的风险暴露相反的期货头寸，用以规避全部或部分标的资产的风险。

The conception of compound hedging was put forward . The principle of compound hedging was to construct a futures position opposed to exposure risk and to hedge the full or part risk of the object assets .

考虑交易费用的复合期货套期保值策略及其在武器采购中的应用

Compound hedging method considering transaction costs and its application in weapon purchase