| The stock market crash of June 12,2015 so far is also very fresh,1000 shares limit situation to the beginning of development of China's financial derivatives market has brought great disaster.Nowadays,the uncertainty of market risk makes investors have great demand for portfolio risk aversion.At present,the risk of the stock index futures hedging function are more and more people are concerned,the main way is to realize the hedging strategy,stock index futures hedging strategy for multi species can be more effective risk aversion.Firstly,the static hedging ratio window dynamic,and calculation and dynamic hedging ratios were compared by comparing HE index(yield percentage of variance reduction)to find the best hedging ratio model.At the same time,according to the basic theory of hedging model,optimal hedge ratio model,and a variety of stock index futures hedging model with arbitrary portfolio for the subject,aim for the highest efficiency of hedging,the nonlinear optimization method is applied to the hedging strategy,according to the actual hedging business chain for the empirical research,calculates the optimal combination weights,according to the positions on the spot maximum positions constraint to calculate the maximum investment amount and position details as well as the three stock index futures contracts mixed hedging ratio.The conclusion of this study shows that the OLS model works best in the empirical analysis.Using IF,IH and IC three stock index futures,hedging efficiency of hedging portfolio of spot portfolio is significantly higher than that of IF,IH,IC and three stock index futures to hedge the hedging efficiency of spot portfolio. |
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