Starting from CAPM (Capital Assets Pricing Model) analysis, a new method for hedgingportfolio risk with stock index futures is proposed.
从分析CAPM(资本资产定价模型)入手，提出了用股票指数期货来对冲股票组合风险的一种方法。
2
New method of evaluating the hedge performance which adopted the integrated index of mean, variance and low partial moments of the returns of the hedgingportfolio was proposed.
本文提出了采用套保组合收益率的均值、方差和半方差作为综合衡量套保绩效指标的新方法。
3
According to the principle of finance engineering, we can design a zero - coupon bond to any given stock. We use the stock and the mentioned zero? Coupon bond to construct a hedgingportfolio.