| 基于投资者效用的套保效率评价模型研究 |
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| 引用本文： | 黄凌灵.基于投资者效用的套保效率评价模型研究[J].北方工业大学学报,2009,21(4):1-4. |
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| 作者姓名： | 黄凌灵 |
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| 作者单位： | 北方工业大学经济管理学院,100144,北京 |
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| 基金项目： | 北京市优秀教学团队《会计学专业系列课程教学团队》(编号PHR200907103)的建设成果 |
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| 摘 要： | 本文提出基于投资者效用的套保效率评价模型，并采用1999年至2006年沪铜、郑麦和连豆期现货数据对该模型进行实证。研究表明，该模型解决了Lindahl’mean-Lindal’SD评价中的双指标排序问题；从投资者风险偏好角度对风险减少程度、夏普比率等模型进行拓展具有现实意义，在不考虑套保成本的情况下，风险厌恶程度高的投资者倾向于选择动态套保策略，且其套保行为产生的效用较大。
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| 关 键 词： | 套保效率 评价模型 效用 |
Analysis on Hedging Efficiency Evaluation Model Based on Investors' Utility |
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| Huang Lingling.Analysis on Hedging Efficiency Evaluation Model Based on Investors' Utility[J].Journal of North China University of Technology,2009,21(4):1-4. |
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| Authors: | Huang Lingling |
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| Affiliation: | Huang Lingling(Col.of Economics , Business Administration,North China Univ.of Tech.,100144,Beijing,China) |
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| Abstract: | In this paper,the hedging efficiency evaluation model based on investors' utility is presented,and a study using the empirical data of Shanghai Copper,Zhengzhou Wheat and Dalian Beans is conducted.The study shows that the model solves the problem of double-scheduling indicators of Lindahl'mean-Lindal'S.D.It's meaningful to take into account investors' risk preferences in evaluation indicators.When the cost of hedging is not considered,investors with high aversion of risks tend to choose dynamic hedging stra... |
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| Keywords: | hedging efficiency evaluation model utility |
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