뗚4뻭뗚2웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡ컷놱얩쇖뿆벼듳톧톧놨(짧믡뿆톧냦)쓪3퓂JournalofNorthwestSci2TechUniversityofAgricultureandForestry(SocialScienceEdition)믹폚럧쿕ퟮ킡뮯뗄웚믵쳗웚놣횵뇈싊뗄좷뚨α쟼킡늩,믴톧쾲,돌쳎(컷놱얩쇖뿆벼듳톧뺭볃맜샭톧풺,짂컷퇮쇨ꆡ712100)ꆡꆡ햪ꆡ튪:쿖쪵훐폐늻짙웚믵뫏풼뗄쳗웚놣횵믡폐쯰쪧,벴쏦쇙믹닮럧쿕,웚믵쳗웚놣횵횻쫇춨맽쪹뷡맻룼좷뚨틔복짙럧쿕,폃믹닮럧쿕좡듺쿖믵쫐뎡볛닮럧쿕ꆣ춨맽뛔쳗웚놣횵뇜쿕풭샭뫍믹닮럧쿕뗄닻쫶,펦폃룅싊춳볆뗄랽닮럖컶뫍캢믽럖횪쪶,닉폃쫽톧췆샭살좷뚨ퟮ병쳗웚놣횵뇈싊,쪹럧쿕ퟮ킡뮯ꆣ쮵쏷춨뎣볙뚨뗄쳗웚놣횵뇈싊캪1늢럇ퟮ병ꆣ맘볼듊:믹닮럧쿕;랽닮럖컶;ퟮ병쳗웚놣횵뇈싊훐춼럖샠뫅:ꆡꆡꆡꆡꆡꆡ컄쿗뇪쪶싫:A컄헂뇠뫅:1009-9107(2004)02-0065-04(튻)ퟶ뛠춷뇜쿕(longhedge)튻ꆢ웚믵쳗웚놣횵뗄뇜쿕풭샭쒳붻틗짌뿉쓜틲캪쎻폐쪵볊돖폐쒳훖짌욷뛸돐떣럧쿕ꆣ샽죧,뛔폚헕쿠뗗욬뗄훆퓬짌살쮵,냗틸쫴웚믵쫐뎡(futuremarket)폐솽듳훷튪릦쓜:볛폚뇘튪뗄짺닺튪쯘,냗틸볛룱뗄늨뚯뿉쓜퇏훘펰쿬룱랢쿖뫍뇜쿕릦쓜ꆣ웚믵붻틗헟뿉틔춨맽ꆰ쳗웚놣훆퓬짌뗄믱샻ꆣ퓚헽뎣퓋펪쳵볾쿂,뗗욬훆퓬짌뇘좻횵ꆱ붻틗,냑볛룱늨뚯뗄럧쿕틆돶좥ꆣ쳗웚놣횵쫇뚨웚싲뷸듳솿뗄냗틸ꆣ볙뚨캴살솽룶퓂뗄냗틸탨쟳춨맽튻훖퓝쪱탔ꆢ쳦듺탔뗄싲싴믮뚯살쪵쿖뛔쇭튻솿쫇5000낻쮾(뇭1쿔쪾5퓂10죕뗄냗틸볛룱)ꆣ훖캴살뗄쪵훊탔뗄붻틗뛔쿳뗄놣횵ꆣ룼좷쟐뗘쮵,뿉룃뗗욬훆퓬짌떣탄냗틸볛룱춻좻짏헇,폚쫇뻶뚨룹틔샭뷢캪싲뷸(싴돶)폫쿖믵쫐뎡짏뺭펪뗄믹뒡닺뻝1068쏀럖ö낻쮾뗄볛룱싲뷸7퓂럝냗틸,뎧볒늻쫽솿쿠떱,웚쿞쿠뷼,떫붻틗랽쿲쿠랴뗄웚믵뫏풼,뿉쓜룹뻝쏀럖ö낻쮾뗄볛룱싲뷸쿖믵뒢듦2틔웚퓚캴살쒳튻쪱볤춨맽싴돶(싲뷸)춬퇹뗄웚믵뫏룶퓂,틲캪쏀럖뗄볛닮늻ퟣ틔쏖늹듦뒢돉놾ꆣ풼,살뗖늹헢튻믹뒡닺틲쫐뎡볛룱뇤뚯뛸듸살뗄쇭췢,벴쪹횧뢶1068쏀럖ö낻쮾뗄볛룱,훆퓬짌죔쪵볊뗄볛룱럧쿕ꆣ뿉틔폐뿉맛뗄샻죳ꆣ뿉쫇,죧맻냗틸싲뷸볛룱뎬맽1쳗웚놣횵헟횮쯹틔쓜릻샻폃웚믵붻틗뛔쿖믵뷸068쏀럖ö낻쮾,붫퇏훘짋몦웤믱샻쓜솦ꆣ믹폚헢킩탐놣횵,믹놾풭샭퓚폚웚믵볛룱폫쿖믵볛룱뗄뇤뚯샭평,훆퓬짌싲뷸웚믵뫏풼,뷥틔맦뇜캴살냗틸볛룱랽쿲쫇튻훂뗄,뛸쟒웚믵뫏풼떽웚쪱쿖믵볛룱폫웚짏헇뗄럧쿕ꆣ맊훆퓬짌뿉ퟶ죧뇭2쯹쪾뗄붻틗ꆣ믵볛룱쿠뗈,돆횮캪볛룱쫕솲(convergence)ꆣ쯹틔,뇭1ꆡ5퓂10죕뗄냗틸볛룱횻튪퓚웚믵쫐뎡짏붨솢튻훖폫쿖믵쫐뎡쿠랴뗄늿뫏풼볛룱(쏀럖ö낻쮾)캻,퓲쫐뎡볛룱랢짺뇤뚯쪱,뿉틔퓚튻룶쫐뎡쫜쯰뛸쿖믵퓚쇭튻쫐뎡믱샻틔쏖늹쫜쯰,듓뛸듯떽놣횵뗄쒿뗄ꆣ7퓂럝1068쿂쏦틔솽룶샽ퟓ뻟쳥쮵쏷웚믵쳗웚놣횵쫇죧뫎맦뇜9퓂럝1084볛룱럧쿕뗄ꆣα쫕룥죕웚:2003208225ퟷ헟볲뷩:쟼킡늩(1976ꆪ),쓐,짂컷뎤낲죋,컷놱얩쇖뿆벼듳톧뺭볃맜샭톧풺쮶쪿퇐뺿짺,퇐뺿랽쿲캪뷰죚튵컱폫뷰죚맜샭ꆣ
66ꆡꆡꆡꆡꆡꆡꆡ컷놱얩쇖뿆벼듳톧톧놨(짧믡뿆톧냦)ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚4뻭뇭2ꆡ냗틸ퟶ뛠춷뇜쿕죕ꆡ웚쿖믵쫐뎡웚믵쫐뎡5퓂10죕풤웚2룶퓂횮뫳탨튪5000낻쮾,냗틸풤웚볛룱싲뷸1헅7퓂럝냗틸,쎿헅뫏풼듺뇭5000낻쮾,캪1068쏀럖ö낻쮾,ퟜ돉놾캪53400쏀풪볛룱캪1068쏀럖ö낻쮾떱쪱뗄쿖믵볛룱캪1071쏀풪ö낻쮾,떱웚믵뫏풼떽웚쪱,웚믵볛룱뗈폚쿖믵볛룱,싴돶7퓂10죕싲뷸5000낻쮾,ퟜ릲횧뢶53500쏀풪,1헅뫏풼,볛룱캪1071쏀럖ö낻쮾,믺믡쯰쪧100쏀풪웚믵믱샻100쏀풪닆뢻뺻뇤뚯=0ꆡꆡ(뛾)ퟶ뿕춷뇜쿕(shorthedge)2룶퓂횮쓚붫붻룮5000낻쮾뗄냗틸,튵훷쿠떱싺틢쳗웚놣횵뇜쿕붻틗훐늻튻뚨뇘좻ퟶ뛠춷웚믵뫏쒿잰뗄7퓂럝웚믵볛룱1068쏀럖ö낻쮾ꆣ쯹틔퓚짺풼,퓚ퟶ뿕춷뇜쿕훐,뇜쿕헟쫇럅뿕웚믵뫏풼ꆣ뻙샽닺짌뻶뚨뷸죫웚믵쫐뎡붨솢죧뇭3쯹쪾뗄늿캻뷸탐살쮵,5퓂10죕뗄냗틸볛룱죔좻쫇뇭1쯹쪾뗄쟩뿶ꆣ뇜쿕,냑냗틸뗄캴살쿺쫛볛룱쯸뚨퓚1068쏀럖ö낻볙뚨쒳틸뿳짺닺짌떣탄냗틸볛룱뿉쓜쿂뗸,헢붫펰쮾ꆣ쿬짺닺짌뗄믱샻ꆣ룹뻝쒿잰뗄짺닺쟩뿶맀볆,퓚캴살뇭3ꆡ냗틸ퟶ뿕춷뇜쿕죕웚쿖믵쫐뎡웚믵쫐뎡5퓂10죕풤웚솽룶퓂횮뫳쿺쫛5000낻쮾냗틸,풤웚볛룱싲뷸1헅7퓂럝냗틸,쎿헅뫏풼듺뇭5000낻쮾,캪1068쏀럖ö낻쮾,ퟜ쫕죫캪53400쏀풪볛룱캪1068쏀럖ö낻쮾떱쪱뗄쿖믵볛룱캪1071쏀럖ö낻쮾,쿺쫛떱웚믵뫏풼떽웚쪱,웚믵볛룱뗈폚쿖믵볛룱,믘늹7퓂10죕5000낻쮾,ퟜ릲쫕죫53500쏀풪ꆭꆭ1헅뫏풼,볛룱캪1071쏀럖ö낻쮾뛮췢믱샻100쏀풪웚믵쯰쪧100쏀풪닆뢻뺻뇤뚯=0ꆡꆡ듓뇭3뿉뾴돶,죧맻쎻폐뷸탐뇜쿕,틸뿳짺닺짌뚨뗘뗣뗄떱잰쿖믵볛룱복좥웚믵뫏풼볛룱ꆣ믹닮뿉쓜캪뿉틔뛠100쏀풪,뿉쫇헢늢늻뇭쪾떱돵뗄뇜쿕쫇헽횵튲뿉쓜캪뢺횵,퓚뫏풼떽웚죕믹닮뿏뚨캪쇣ꆣ죧맻듭컳뗄뻶닟ꆣ짺닺짌퓚뻶뚨뷸탐뇜쿕뗄쪱뫲,뻍틑뺭쿖믵볛룱뗄퓶볓듳폚웚믵볛룱,믹닮튲쯦횮퓶볓돆캪믹죏뚨7퓂럝웚믵볛룱쫇뿉틔뷓쫜ꆣ닮퓶잿(strengtheningofthebasis),랴횮돆캪믹닮복죵(weakeningofthebasis)ꆣ뛾ꆢ믹닮럧쿕폫쳗웚놣횵뇈싊쳗웚놣횵뫳,춶헟쯹돐떣뗄쫇폫믹닮쿠맘뗄늻좷뚨탔,놻돆캪믹닮럧쿕(basisrisk)ꆣ잰쏦솽샽죧잰쫶솽샽쓇훖췪좫뗄쳗웚놣횵쫇벫늻쿖쪵뗄ꆣ훐,믹닮캪0,쫇췪좫쳗웚놣횵ꆣ뛸쿖쪵훐뗄듳늿럖붻쫂쪵짏,뿉틔풤볆폐늻짙뗄쳗웚놣횵쫇믡폐쯰쪧뗄,컞틗뚼쫇럇췪좫쳗웚놣횵,뚼쏦쇙ퟅ믹닮럧쿕ꆣ펰쿬믹싛쫇쓄튻훖랽쪽뗄쳗웚놣횵,웤놾훊뚼쫇샻폃웚믵볛닮닮럧쿕뗄맘볼틲쯘폐솽룶,벴웚믵뫏풼뗄톡퓱뫍쳗살쏖늹쿖믵뗄볛닮ꆣ퓚늻놣횵ힴ뿶쪱,춶헟쏦뛔늢돐웚놣횵뇈싊뗄좷뚨ꆣ웚믵뫏풼뗄톡퓱춨뎣냼삨솽랽떣쿖믵쫐뎡뗄늨뚯;퓚놣횵쪱,춶헟쏦뛔늢돐떣뗄쫇쏦:튻쫇톡퓱웚믵뫏풼뗄믹뒡닺,뛾쫇톡퓱붻룮퓂솽쫐뎡믹닮뗄늨뚯ꆣ뛸솽쫐뎡볤믹닮뗄뇤뮯,췹췹믡킡럝ꆣ뛔폚뗚튻룶랽쏦,춨뎣튪쟳웚믵뫏풼뗄웚믵볛룱폚쿖믵쫐뎡볛닮뗄늨뚯,헢퇹뻍뿉틔샻폃웚믵붵뗍럧폫듲쯣놣횵뗄닺볛룱쿠맘탔ퟮ뫃ꆣ뛔폚붻룮퓂럝쿕,벴틔믹닮럧쿕좡듺쿖믵쫐뎡볛닮럧쿕ꆣ쯹틔,믹닮뗄톡퓱,뺡솿톡퓱ퟮ뷓뷼쳗웚놣횵떽웚죕뗄쓇룶붻(basis)퓚웚믵붻틗훐쫇튻룶럇뎣훘튪뗄맛쓮,쫇쒳쳘룮퓂럝,틲캪쳗웚놣횵뗄떽웚죕폫뫏풼붻룮퓂럝횮
ꆡ뗚2웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ쟼킡늩뗈:믹폚럧쿕ퟮ킡뮯뗄웚믵쳗웚놣횵뇈싊뗄좷뚨67볤뗄쪱볤풽뎤,믹닮럧쿕풽듳,붻룮퓂럝펦톡퓚짔동닮,쿔좻폚쳗웚놣횵떽웚죕뗄퓂럝ꆣ횮쯹틔늻톡퓱떱퓂붻룮Var(∃S-h∃F)=Var(h∃F-∃S)뫏풼,쫇틲캪붻룮퓂럝뗄웚믵볛룱럇뎣늻컈뚨ꆣ늻럁폃V뇭쪾,퓲퓚짨뚨폃뫎훖웚믵뫏풼ퟷ캪쳗웚놣횵릤뻟뫳,뮹V=Var(∃S-h∃F)뇘탫좷뚨폃뛠짙헅헢퇹뗄뫏풼닅쓜듯떽풤웚뗄쳗웚놣ꆡ=E[(∃S-h∃F2)-E(∃S-h∃F)]횵쒿뇪,벴쳗웚놣횵뇈싊뗄좷뚨ꆣ쳗웚놣횵뇈싊HRꆡ=E[(∃S-E∃S)-h(∃S-E∃F2)](hedgeratio)쫇횸놣횵헟돖폐웚믵뫏풼뗄춷듧듳킡폫=E(∃S-E∃2S)+2hE(∃F-E∃F2)탨튪놣횵뗄믹뒡닺듳킡횮볤뗄뇈싊ꆣ쪵볊짏뻍쫇쎿튻ꆡꆡ-2hE(∃S-E∃S)(∃F-E∃F)떥캻쿖믵늿캻놣횵헟쯹붨솢뗄웚믵뫏풼떥캻ꆣꆡ=Var∃S+2hVar∃F-2hcov(∃S,∃F)놣횵헟퓚쳗웚놣횵훐쯹쪹폃뗄웚믵뫏풼쫽뫍쳗=Ρ2s+2hΡ2F-2hΘΡsΡF(2)웚놣횵뇈싊맘쾵죧쿂듓(2)쪽살뾴,평폚ΡsꆢΡFꆢΘ쫇뎣쫽,틲듋,VN쫇h뗄몯쫽ꆣNs=hQ(1)F쿖퓚살뾼싇떱h캪뫎횵쪱,볛룱뇤뮯뗄랽닮ퟮ웤훐Ns뇭쪾놻쳗웚놣횵뗄쿖믵늿캻춷듧듳킡;킡(볛룱럧쿕ퟮ킡)ꆣ뛔(2)쪽쟳V맘폚h뗄튻뷗떼QF뇭쪾쎿헅웚믵뫏풼뗄춷듧듳킡;N뇭쪾쳗웚놣횵쫽,뿉뗃떽:훐톡퓱뗄웚믵뫏풼쫽;h뇭쪾쳗웚놣횵뇈싊ꆣdV=22hΡF-2ΘΡsΡF(3)dh죽ꆢ럧쿕ퟮ킡뮯뗄ퟮ병쳗웚놣횵뇈싊퓙쟳V맘폚h뗄뛾뷗떼쫽,뗃떽d2Vd2=2Ρ2F,힢h틢떽d2V(튻)쫽톧췆샭d2>0,평캢믽럖횪쪶컒쏇횪뗀,쪹Vퟮ킡뗄h잰쏦뗄솽샽튻횱뚼볙뚨쳗웚놣횵뇈싊캪1ꆣ쿂쏦살쮵쏷튪쿫듯떽쳗웚놣횵헟뗄볛룱럧쿕ퟮ킡뮯뗄쒿횵쫇(3)쪽dV=0,뗃떽:dh뗄3,쳗웚놣횵뇈싊캪1늢럇ퟮ병ꆣ볙뚨S1캪t1쪱뿌쿖h=ΘΡs(Ρ4)믵뗄볛룱F;S2캪t2쪱뿌쿖믵뗄볛룱;F1캪t1쪱뿌웚붫3h듺죫(2)쪽V뗄뇭듯쪽훐,뿉뗃떽V뗄ퟮ믵뗄볛룱;F2캪t2쪱뿌웚믵뗄볛룱;h캪쳗웚놣횵뇈킡횵캪V3=(1-Θ2)Ρ2sꆣ싊ꆣ∃S=S2-S1;∃F=F2-F1ꆣ평틔짏럖컶뿉볻,ퟮ병뗄쳗웚놣횵뇈싊h뗈폚볙뚨붻틗짌퓚t1쪱뿌뷸탐뛔돥닙ퟷ,퓚t2쪱뿌∃S뫍∃F횮볤뗄쿠맘쾵쫽돋틔∃S뗄뇪ힼ닮폫∃F욽닖ꆣ뿉틔뾴돶∃S쫇쳗웚놣횵웚쿞쓚쿖믵볛룱뗄룄뗄뇪ힼ닮뗄뇈싊ꆣ죴Θ=1,Ρs=ΡF,퓲ퟮ병뗄쳗놣횵뇤솿,∃F쫇쳗웚놣횵웚쿞쓚웚믵볛룱뗄룄뇤솿ꆣ∃S뇈싊캪1ꆣ죴Θ=1,쟒ΡF=2Ρs,퓲ퟮ병쳗웚놣횵뇈ꆢ∃F럖뇰평폚캴살쪱볤t2쪱뗄쿖믵볛룱S2뫍웚믵싊캪,헢튻뷡맻튲헽죧컒쏇쯹풤웚뗄,웚믵볛룱볛룱F2뗄늻좷뚨탔뛸늻좷뚨ꆣ뇤뮯뗈폚쿖믵볛룱뇤뮯뗄2놶ꆣ뛔폚튻룶뿕춷쳗웚놣횵헟살쮵,퓚t1쪱뿌돖폐듓짏쏦뗄럖컶컒쏇뮹뿉뾴떽:떱쿠맘쾵쫽Θ=1쿖믵뛠춷뫍웚믵뿕춷,퓚t2쪱뿌돶쫛쿖믵닺,춬쪱3뷸탐웚믵욽닖ꆣ퓚룃웚볤놣횵헟춷듧뗄볛횵뇤뮯캪,h좷뚨캪ΡsΡ,퓲폐랽닮V=0ꆣ튲뻍쫇쮵,헢쪱췪F∃좫쿻돽쇋볛룱럧쿕,ퟶ떽쇋췪좫뗄쳗웚놣횵ꆣ뛸횻튪S-h∃Fꆣ쿠랴뛔튻룶뛠춷쳗웚놣횵헟살쮵,퓚헢웚볤놣횵헟춷듧뗄볛횵뇤뮯캪h∃FΘ<1,퓲컞싛퓵퇹좷뚨h,랽닮Vퟜ싺ퟣVꇝ(1--∃Sꆣ쇮Ρs쫇뗄∃S뇪ힼ닮,ΡF쫇∃F뗄뇪ힼ닮,퓲Θ2)Ρ2s,헢쪱쎻폐ퟶ떽췪좫뗄쳗웚놣횵ꆣ(뛾)Ρ2쪵샽s=Var∃S,Ρ2F=Var∃F폃Θ뇭쪾쿂쏦컒쏇춨맽튻룶뻟쳥샽ퟓ살쮵쏷죧뫎볆쯣ퟮ∃S뫍∃F뗄쿠맘쾵쫽,퓲병쳗웚놣횵뇈싊ꆣ튻볒몽뿕릫쮾풤웚릺싲2000000Θcov(∃S,∃F)=Ρ볓싘(1볓싘=짽)뗄량믺좼폍,늢쟒뻶뚨쪹sõΡFcov(∃S,∃F)뇭쪾∃S뫍∃F킭랽닮ꆣ폃좼폍웚믵뷸탐쳗웚놣횵ꆣ컒쏇볙뚨뇭4룸돶쇋솬뾼싇짏쏦솽훖쟩뿶쳗웚놣횵춷듧볛횵뇤뮯뗄랽탸15룶퓂좼폍웚믵볛룱뫍쿖믵볛룱뗄쿠맘뇤뚯쫽
68ꆡꆡꆡꆡꆡꆡꆡ컷놱얩쇖뿆벼듳톧톧놨(짧믡뿆톧냦)ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚4뻭뻝;ΡF캪웚믵볛룱뇤뚯뗄뇪ힼ닮,Ρs캪쿖믵볛룱뇤ꇆxiyi=뚯뗄뇪ힼ닮,xi캪뗚i룶퓂웚믵볛룱뗄쿠뛔뇤뮯솿2((i=1,2ꆭn;n=15),yi캪뗚i룶퓂쿖믵볛룱뗄쿠Ρꇆxi)뛔뇤뮯솿ꆣF=ꇆ2xi-=-1n(n-1)뇭4ꆡ볆쯣럧쿕ퟮ킡뮯뗄h3뗄쫽뻝[4]22i(ꇆyi)Ρs=ꇆy-=퓂n-1(month)쎿볓싘웚믵볛룱뗄쎿볓싘쿖믵볛룱뗄n(n-1)i뇤뮯솿xi뇤뮯솿yinΘ=ꇆxiyi-ꇆxiꇆyi1ꆡꆡꆡꆡꇆ222xi-(ꇆxi)nꇆ2yi-(ꇆyi)2ꆡꆡꆡꆡꆡꆡꆡꆡꆡ=ꆡꆡꆡꆡ룹뻝(4)쪽ퟮ병쳗웚놣횵뇈싊5ꆡꆡꆡꆡ=ΘΡs63Ρ=ꇁ=ꆡꆡꆡꆡꆡꆡ퓚NYMEX쎿헅좼폍웚믵뫏풼뗄춷듧듳킡캪ꆡꆡꆡꆡ42000볓싘,룹뻝(1)쪽,뿉쟳돶톡퓱뗄웚믵뫏풼쫽ꆡꆡꆡꆡꆡꆡ0캪:.04310ꆡꆡꆡꆡ=3NAhQ=ꇁ2=ꆡꆡꆡꆡꆡꆡ쯹틔ퟮ뷓뷼뗄헻쫽캪37,맊룃몽뿕릫쮾펦퓚웚ꆡꆡꆡꆡ믵쫐뎡짏싲뷸37헅웚믵뫏풼닅쓜ퟮ킡뮯볛룱늨뚯ꆡꆡ뗄럧쿕ꆣ듓틔짏뗄럖컶훐뿉뾴돶,쳗웚놣횵뇈싊좷뚨14ꆡꆡꆡꆡꆡꆡꆡꆡ뗄쫇럱잡떱,횱뷓맘쾵떽놣횵헟쓜럱샻폃웚믵붻틗ꆡꆡ듓뇭4뿉뗃돶살ퟮ킡뮯맦뇜럧쿕,춬퇹퓚듳뛠쫽쟩뿶쿂쳗웚놣횵ꇆ뇈싊캪1늻쫇ퟮ병톡퓱,뿉쓜삩듳쇋믹닮럧쿕ꆣxi=ꆡꆡꆡꇆyi=ꇆ2xi=ꆡꆡꆡꇆ2yi=닎뾼컄쿗:[1]ꆡ풼몲ꆤ뫕뛻.웚좨ꆢ웚믵뫍퇜짺횤좯[M].놱뺩:뮪쿄돶냦짧,1997.[2]ꆡ횥볓룧웚믵붻틗쯹.쿖믵짌튵믮뚯훐뗄믹닮붻틗[M].놱뺩:훐맺뛔췢뺭볃쎳틗돶냦짧,1993.[3]ꆡJohnCꆤ,(FourthEdition)[M].PrenticeHall,.[4]ꆡNikkhah,[J].Futures,1987,(October):68ꆫ75.[5]ꆡ믴톧쾲.웚믵뺭볃톧[M].컷낲:컷놱듳톧돶냦짧,1999.[6]ꆡ춬볃듳톧룅싊춳볆뷌퇐ퟩ.룅싊춳볆[M].짏몣:춬볃듳톧돶냦짧,,HUOXue2xi,CHENGJin2tao(CollegeofEconomicsandManagement,NorthwestSci2TechUniversiyofAgricultureandForestry,Yangling,Shaanxi712100,China)Abstract:Inreallife,thehedgeofquiteafewfuturecontractswilllosetheirvalue,inotherword,,,withanintroductionofbasicriskandrisk2avoidingtheoryofhedgeratio,:basisrisk;varianceanalysis;thebesthedgeratio
