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1、0.890.89-1.0-0.97-0.9丹麦公司订单(万克朗)10001.00001.0001.0001.000美元-克朗汇率K的标准差 A0.004120.96221.0921.0891.083美元-马克汇率M的标准差 sB0.018840.93241.1831.1791.168K与的相关系数 r0.4560.91061.2751.2691.253对冲空头期货头寸(万马克)1080.89781.3671.3591.34060天后美元现金流量标准差0.3662100.893101.4591.4491.427r=1时的最优对冲期货马克头寸21.809120.899121.5501.5401.5
2、14剩余风险比 h0.893140.913141.6421.6301.602160.937161.7341.7211.691180.969181.8251.8121.780201.008201.9171.9031.86921.81.04921.82.0001.9851.949221.053222.0091.9941.958241.105242.1002.0852.047261.161262.1922.1762.137281.222282.2842.2672.227301.286302.3762.3582.3170.890.89-1.0-0.97-0.901.00001.0001.0001.00
3、0-21.044-20.9080.9110.918-41.095-40.8170.8230.839-61.150-60.7250.7360.762-81.210-80.6330.6500.689-101.274-100.5410.5660.620-121.341-120.4500.4850.559-141.411-140.3580.4080.507-161.483-160.2660.3390.467-181.557-180.1750.2830.442-201.633-200.0830.2490.436-221.703-22#0.2450.447-221.710-220.0090.2460.44
4、9-241.789-240.1000.2760.480-261.869-260.1920.3290.525-281.950-280.2840.3970.581-302.032-300.3760.4730.645ABCDEFGHIJ KLMNOP12345678910111213141516171819202122232425262728293031323334353637383940-0.8-0.7-0.6-0.5-0.4-0.3-0.2-0.100.10.200.30.41.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001
5、.0001.0751.0661.0581.0491.0401.0311.0221.0131.0040.9950.9860.9760.9671.1521.1361.1201.1031.0861.0691.0521.0351.0170.9980.9800.9610.9421.2311.2091.1861.1621.1381.1141.0891.0631.0371.0100.9830.9540.9251.3121.2841.2551.2251.1951.1641.1321.0991.0651.0300.9940.9560.9171.3941.3611.3271.2921.2561.2191.1811
6、.1411.1001.0581.0130.9670.9181.4781.4401.4011.3611.3201.2781.2341.1891.1411.0921.0410.9860.9291.5621.5201.4771.4331.3881.3411.2921.2411.1881.1331.0751.0130.9481.6471.6021.5551.5071.4581.4071.3531.2981.2401.1801.1161.0480.9751.7331.6841.6351.5831.5301.4751.4181.3591.2971.2311.1621.0891.0101.8191.7681
7、.7151.6611.6051.5461.4861.4231.3571.2871.2141.1361.0521.8971.8441.7891.7321.6731.6121.5491.4831.4141.3421.2651.1831.0951.9061.8521.7971.7401.6811.6201.5561.4901.4201.3481.2701.1881.1001.9931.9371.8791.8201.7581.6951.6281.5591.4871.4111.3311.2451.1542.0812.0221.9631.9011.8371.7711.7021.6311.5561.4771
8、.3941.3061.2112.1692.1092.0471.9831.9171.8491.7781.7041.6271.5461.4611.3701.2732.2572.1952.1312.0661.9981.9281.8551.7801.7011.6181.5301.4381.339-0.8-0.7-0.6-0.5-0.4-0.3-0.2-0.100.10.200.30.41.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0000.9280.9380.9480.9570.9670.9760.9860.9951.004
9、1.0131.0221.0311.0400.8600.8810.9020.9220.9420.9610.9800.9981.0171.0351.0521.0691.0860.7970.8310.8630.8950.9250.9540.9831.0101.0371.0631.0891.1141.1380.7400.7880.8330.8760.9170.9560.9941.0301.0651.0991.1321.1641.1950.6900.7540.8120.8670.9180.9671.0131.0581.1001.1411.1811.2191.2560.6500.7300.8020.867
10、0.9290.9861.0411.0921.1411.1891.2341.2781.3200.6200.7160.8010.8780.9481.0131.0751.1331.1881.2411.2921.3411.3880.6040.7150.8110.8970.9751.0481.1161.1801.2401.2981.3531.4071.4580.6010.7250.8310.9251.0101.0891.1621.2311.2971.3591.4181.4751.5300.6110.7460.8610.9611.0521.1361.2141.2871.3571.4231.4861.546
11、1.6050.6320.7750.8941.0001.0951.1831.2651.3421.4141.4831.5491.6121.6730.6350.7780.8981.0041.1001.1881.2701.3481.4201.4901.5561.6201.6810.6710.8190.9441.0541.1541.2451.3311.4111.4871.5591.6281.6951.7580.7170.8670.9951.1091.2111.3061.3941.4771.5561.6311.7021.7711.8370.7710.9221.0521.1681.2731.3701.461
12、1.5461.6271.7041.7781.8491.9170.8310.9831.1141.2321.3391.4381.5301.6181.7011.7801.8551.9281.998QRSTUVWXYZAAABAC123456789101112131415161718192021222324252627282930313233343536373839400.50.60.70.80.91.01.0in D8:1.0001.0001.0001.0001.0001.0001.0000.9570.9480.9380.9280.9180.9110.908in D10:0.9220.9020.88
13、10.8600.8390.8230.817in D11:0.8950.8630.8310.7970.7620.7360.7250.8760.8330.7880.7400.6890.6500.633in D13:0.8670.8120.7540.6900.6200.5660.541in D14:0.8670.8020.7300.6500.5590.4850.4500.8780.8010.7160.6200.5070.4080.3580.8970.8110.7150.6040.4670.3390.2660.9250.8310.7250.6010.4420.2830.1750.9610.8610.7
14、460.6110.4360.2490.0831.0000.8940.7750.6320.4470.245#1.0040.8980.7780.6350.4490.2460.0091.0540.9440.8190.6710.4800.2760.1001.1090.9950.8670.7170.5250.3290.1921.1681.0520.9220.7710.5810.3970.2841.2321.1140.9830.8310.6450.4730.3760.50.60.70.80.91.01.01.0001.0001.0001.0001.0001.0001.0001.0491.0581.0661
15、.0751.0831.0891.0921.1031.1201.1361.1521.1681.1791.1831.1621.1861.2091.2311.2531.2691.2751.2251.2551.2841.3121.3401.3591.3671.2921.3271.3611.3941.4271.4491.4591.3611.4011.4401.4781.5141.5401.5501.4331.4771.5201.5621.6021.6301.6421.5071.5551.6021.6471.6911.7211.7341.5831.6351.6841.7331.7801.8121.8251
16、.6611.7151.7681.8191.8691.9031.9171.7321.7891.8441.8971.9491.9852.0001.7401.7971.8521.9061.9581.9942.0091.8201.8791.9371.9932.0472.0852.1001.9011.9632.0222.0812.1372.1762.1921.9832.0472.1092.1692.2272.2672.2842.0662.1312.1952.2572.3172.3582.376ADAEAFAGAHAIAJAK ALAM12345678910111213141516171819202122
17、232425262728293031323334353637383940=SQRT(D32*D42-2*D3*D7*D6*D4*D5+D72*D52)=D3*D4/D5=D10*D6=D8/(D3*D4)=SQRT(1-D62)AN123456789101112131415161718192021222324252627282930313233343536373839409.81 0.89 用马克期货对冲克朗价格波动的期货对冲策略下剩余风险比随马克对冲数量的变化3020100-10-20-3000.20.40.60.811.2对冲数量hr=0.459.81 0.89 不相同资产期货对冲策略下剩
18、余风险比随对冲数量的变化3020100-10-20-3000.20.40.60.811.2对冲数量hr=0.459.81 0.89 不相同资产期货对冲策略下剩余风险比随对冲数量的变化3020100-10-20-3000.20.40.60.811.2对冲数量h9.810.890.390.34丹麦公司订单(万克朗)100-1-21.810.00000.4100.00美元-克朗汇率K的标准差 A0.0041-1-21.590.141100.4040.17美元-马克汇率M的标准差 sB0.0188-1-21.150.243200.3850.34K与的相关系数 r0.45-1-20.720.312300
19、.3550.50对冲空头期货头寸(万马克)10-0.9-19.630.436400.3140.6460天后美元现金流量标准差0.3662-0.8-17.450.600500.2640.77-0.7-15.270.714600.2050.87r=1时的最优对冲期货马克头寸21.809-0.6-13.090.800700.1400.94最优对冲空头期货马克头寸 Q1m9.814-0.5-10.900.866800.0710.98剩余风险比极小值 hmin0.893-0.4-8.720.917900.0001.00-0.3-6.540.954100-0.0710.98椭圆参数 a0.41-0.2-4
20、.360.980110-0.1400.94椭圆参数 b1-0.1-2.180.995120-0.2050.87椭圆倾斜角参数 q2000.0001.000130-0.2640.77x0.38530.12.1810.995140-0.3140.64剩余风险比极小值 hmin,y0.3420.24.3620.980150-0.3550.50最优对冲空头期货马克头寸 Q1m20.4930.36.5430.954160-0.3850.340.48.7230.917170-0.4040.170.510.900.866180-0.4100.00双曲线长短半轴0.613.090.800A0.8930.715
21、.270.714双曲线方盒B19.4760.817.450.60029.290.919.630.43629.290.9520.720.312-9.660.9721.150.243-9.660.9921.590.141121.810.000ABCDEFGHIJKLMNOP1234567891011121314151617181920212223242526272829303132333435363738394020.49in D8:=SQRT(D32*D42-2*D3*D7*D6*D4*D5+D72*D52)21.80921.477in D10:=D3*D4/D520.493in D11:=D1
22、0*D618.887in D12:=SQRT(1-D62)16.70614.018in D15:=D4*D310.904in D18:=D15*COS(RADIANS(D17)7.459in D19:=D16*SIN(RADIANS(D17)3.787in D20:=D19/D50.000-3.787-7.459-10.904-14.018-16.706-18.887-20.493-21.477-21.80900.8930.89301)(222 yQxABmyQ1双曲线方盒QRSTU12345678910111213141516171819202122232425262728293031323334353637383940