关键词: 期货套期保值, 经济价值, 套保效率, 二次决策准则

Abstract: Hedging strategies of futures based on different risk measures are different, and the hedging efficiency is used to compare the hedging performance of different risk measures. However, the hedging strategy with a high hedging efficiency may not be optimal when the hedging cost is taken into account. In order to balance hedging efficiency and hedging cost, this paper introduced the economic value to further compare the effectiveness of different hedging strategies, and proposed the secondary decision criterion of futures hedging. First, futures hedging models under the risk measures of variance, VaR(value at risk), and CVaR(conditional  value at risk) were constructed, and the explicit expressions of the optimal hedging position and hedging efficiency were given. Then, the optimal model-driven hedging strategy decision criterion was proposed. Considering the hedging cost, the second decision criterion of different hedging strategies was presented based on the economic value. Finally, the empirical analysis on hedging of Brent crude oil futures was conducted. The result indicate that the empirical results are consistent with the theoretical research. Besides, the economic value of the optimal hedging strategy based on the primary criterion is not always greater than zero, i.e., when considering the hedging cost, the hedging strategy based on the maximum hedging efficiency may bring more losses than benefits to the investors, which further illustrates the effectiveness of the secondary decision criterion of futures hedging constructed in this paper.

Key words: futures hedge, economic value, hedge effectiveness, second decision criteria