套期保值者

从而使得现货价格偏度系数的大小成为衡量该市场上套期保值者行为中是否具有投机性及该投机性强弱的理想变量，也即当该系数增大时，选择性套期保值增强。

Thus the size of the spot price skewness coefficient is a measure of hedging participation level of the hedger . The revel of selective hedging is rising as the coefficient increasing .

二是从理论上认为VaR最优套期比由反映套期保值者投机需求和纯套期保值两部分组成，更深层次地探讨了套期比的含义。

The VaR optimal hedge ratio is composed of two parts , which are the part of reflecting the speculating demand of hedger and the part of pure hedging , and therefore , it could further discuss the meaning of hedge ratio .

第三章主要阐述了套期保值者的风险决策机制。

Chapter three focus on the risk-decision mechanism of the hedgers .

结合文章研究结论，为套期保值者和期货监管部门提出建议。

Combined with the article research results , we give advice for hedging and futures regulators .

对于套期保值者和套利者而言，股指期货的风险也就体现在基差波动不确定性上。

For hedging and arbitrage , the risk of the stock index futures is also reflected in the spread uncertainty .

因此本文将站在套期保值者的角度，综合国内外学者关于如何实现最优的套期保值策略的方法进行研究。

Therefore this paper will stand at the hedgers ' point , overseas scholars have pointed about how to achieve the optimal hedging ratio .

套期保值者利用期货市场保护其现货业务，以回避对其业务获利底线形成负面影响的不利价格波动。

Hedgers use the futures market to protect their businesses , from adverse price changes that could negatively impact the bottom-line profitability of their businesses .

其中，交易者可具体划分为套期保值者、套利者和投机者，而本文的交易策略主要针对套期保值者和套利者，对投机者指导意义不大。

Market traders include hedgers , arbitragers and speculators . The approaches proposed in this paper are mainly for hedger and arbitrager , with little contribution to speculators .

根据对套期保值者和套期图利者的详尽论述，尝试性地提出期货市场的稳定主体&稳定套作者的概念，并初步构建了稳定套作理论。

According to the elaborate discussion of hedgers and spreaders , the dissertation tentatively puts forward the conception of stable investor , and build pilot study of stable investor theory .

与套期保值者转移价格风险、放弃风险收益的属性相对应，股指期货市场中的投机者就是承担价格风险和追逐风险收益。

Corresponding to hedgers ' transferring price risk and abandoning risk earnings , the speculators in the stock index futures market shall intentionally take the risk from hedgers in pursuit of profit .

套期保值者进行套期保值交易的目的是转移现货市场上的价格波动风险，套期保值交易效果常常受基差变动的影响，所以，基差风险的存在会影响套期保值交易效果。

The purpose of hedge transaction is hedger transfer risk of price fluctuation on spot market . The result of hedge is usually affected by basis change . So basis risk can change the result of hedge .

从期货市场自身的结构来看，主要是没有正确认识和处理期货交易所、期货经纪公司、投资者（套期保值者和投机者）的性质和相互关系。

Second is from the perspective of the structure of the futures market : we still do not have a correct understanding of the relationship and nature between futures exchange , futures brokerage firms and investors ( hedgers and speculators ) .

同时，为了更加形象的描述套期保值者对套期保值的收益和风险的满意程度，本文还引入了隶属函数，通过参数的调整来刻画套期保值者对套期保值收益和风险的满意水平。

At the same time , in order to describe the satisfaction of the return and risk of futures hedging , we propose the membership function that depicts the satisfaction levels of return and risk of futures hedging through the adjustment of parameters .

随着科学的进步和发展，金融衍生产品越来越受到套期保值者和投机者的喜爱，于是金融衍生产品的定价问题成为现代金融理论研究中的核心问题和热点问题。

With the development and progress of the scientifics , financial derivatives become more and more popular in hedging and speculatives , then the pricing of financial derivatives has become the core issue and hot topic in the study of modern financial theory .

一般认为，期货与现货市场之间的价格相关关系可使套期保值者和投机商利用期货价格衡量相关现货商品的近期和远期价格的发展趋势。

It is generally accepted that the price correlation between futures market and spot market may facilitate the hedgers and speculators , so that that they can make use of futures prices to measure the price trends of related cash commodities in the near and far future .

目前在期货市场理论中占主导地位的是期货市场风险论，期货市场风险论认为套期保值者转移风险，投机者承当风险，期货市场的一切活动围绕着风险进行。

At present the risk theory of the future market takes a dominant position in the theories on the future market . The theory believes that the arbitragers transfer the risk , the speculators bear the risk and all the activities on the future market center around the risk .

本文主要研究对冲（套期保值）者的债务由一般的支付流描述时的局部风险最小对冲策略决定问题。

This paper deals with the problem of determining locally risk-minimizing hedging strategies when the hedger 's liablities are described by a general payoff stream .

股指期货的基本功能之一是套期保值，套期保值者可以利用期货合约进行风险管理，降低或转移不利的价格波动风险。

One of the basic functions of the stock index futures is hedging . Hedgers can use a futures contract to manage risk , reduce or transfer the adverse price fluctuation risk .

套期保值的本质就是套期保值者利用期货价格和现货价格的基差来规避现货资产的价格风险。

Hedging in essence is that the hedgers use the basis of futures price and spot price to avoid spot asset price risk .

研究结论完善了现有理论，增强了对套期保值行为的理解，有助于套期保值者做出更加适合的决策。

This paper enhances the understanding of hedging behavior . It will help hedgers making appropriate decisions .

对展期（Rolling）套期保值的研究，一方面有助于扩大期货交易的套期保值者队伍，繁荣期货市场，另一方面又可以为套期保值者提供理性的保值策略，提高交易者的风险管理能力。

Whereas two advantages in study rolling hedges , one is that it helps enlarge the hedgers in futures market so as to boom the futures market , the other is that it helps provide rational hedging strategies so as to improve the bargainers ' risk managing ability .

利用期货合约（Futures）进行套期保值（Heding）是期货市场上交易者一种重要的策略，套期保值者也是期货市场十分重要的参与者之一。

It is one of very important strategies for bargainers to use futures contracts to hedge on futures market , and hedgers are also very important in futures market .

如何确定最优套期保值比率是套期保值操作中的核心技术问题，所谓套期保值比率就是套期保值者持有期货合约头寸大小与相应风险暴露现货资产大小间的比率。

How to determine the optimal hedge ratio in hedge operation is the core technical problem . The so-called hedge ratio refers to the ratio of size of futures contractual position held by hedgers to the size of corresponding risk-exposed spot assets .

本文通过分析比较几种传统的最优套期保值比率模型，选择了适合的模型，对其进行了扩展，将套期保值者的个人行为推广到整个市场的表现。

Through analysis and comparison of several traditional model of the optimal hedge ratio , we choose a suitable model , and add a speculation factor to construct a new theoretical model . By derivation , we will analysis the impact of this factor on the hedging decision-making .

最小方差的套期保值交易策略认为套期保值实际上是对现货市场和期货市场的资产进行组合投资，套期保值者根据组合投资的预期收益和预期收益的方差，确定现货市场和期货市场的交易头寸。

The minimum variance strategy of hedging thinks differently viewing hedging as an investment portfolio in both current market and futures market . A hedger decides his position in both markets based on the expected return of the portfolio and its variance .

本文认为套期保值功能是期货市场得以存在的基础，期货合约的设计者首先应该最大限度地满足潜在套期保值者的交易需求。

The hedging performance , however , is the foundation of the futures market , so the contract designer should farthest meet the potential hedgers demand .