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

摘要： 基于不同风险测度得到的期货套期保值策略不同，利用套期保值效率可以对比分析不同风险测度下的套期保值效果。然而，当考虑套保成本时，套保效率大的套保策略不一定是“最优”的。为兼顾套保效率和套保成本，引入经济价值进一步对比不同套保策略的效用，提出期货套期保值二次决策准则。首先，构建方差、VaR和 CVaR等风险测度下的期货套期保值模型，给出最优套保头寸和套保效率的显式表达式，提出模型驱动下的最优套保策略决策准则；然后，考虑套保成本，基于经济价值提出不同套保策略的二次决策准则；最后，针对Brent原油期货套期保值进行实证分析，实证研究结果与理论研究相吻合。基于一次准则的最优套保策略的经济价值并不恒大于零，即当考虑套保成本时，基于套保效率最大的套保策略可能使投资者得不偿失，这也进一步体现了本文所构建的套保二次准则的有效性。

关键词: 期货套期保值, 经济价值, 套保效率, 二次决策准则