基于模糊随机环境的期货组合套期保值模型及应用

摘要

Maximum mean-variance combination hedging problem under fuzzy random environment is discussed in this paper. First, we point out the deifnition, expectation, variance and covariance of fuzzy random variable. Following this, we builds up combination hedging model under the fuzzy random environment and gets the expression of hedging ratios. Finally, a numerical analysis is taken with the spot and futures of copper and aluminum. The result shows that these fuzzy random models can achieve better results of hedging than classical random models .%本文探讨了在模糊随机环境下最大均值-方差效用期货组合套期保值问题。通过对模糊随机变量进行定义及其数字特征进行描述，本文建立了模糊随机环境下最大均值-方差效用交叉组合套期保值模型，并推导得到套期保值比率计算公式，最终结合铜、铝两个品种的期货和现货组合为例来对模型的套保有效性进行数值分析。结果表明，考虑了模糊随机性的期货与现货交易价格的套保模型比只考虑随机性的套保模型能够达到更好的套期保值效果。