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1、1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 AB C D E FG H I J KL M N O P 0.890.89-1.0-0.97-0.9 丹麦公司订单(万克朗)10001.00001.0001.0001.000 美元-克朗汇率K的标准差 A0.004120.96221.0921.0891.083 美元-马克汇率M的标准差 B0.018840.93241.1831.1791.168 K与的相关系数 0.4560.
2、91061.2751.2691.253 对冲空头期货头寸(万马克)1080.89781.3671.3591.340 60天后美元现金流量标准差0.3662100.893101.4591.4491.427 =1时的最优对冲期货马克头寸21.809120.899121.5501.5401.514 剩余风险比 0.893140.913141.6421.6301.602 160.937161.7341.7211.691 180.969181.8251.8121.780 201.008201.9171.9031.869 21.81.04921.82.0001.9851.949 221.053222.00
3、91.9941.958 241.105242.1002.0852.047 261.161262.1922.1762.137 281.222282.2842.2672.227 301.286302.3762.3582.317 0.890.89-1.0-0.97-0.9 -01.000-01.0001.0001.000 -21.044-20.9080.9110.918 -41.095-40.8170.8230.839 -61.150-60.7250.7360.762 -81.210-80.6330.6500.689 -101.274-100.5410.5660.620 -121.341-120.4
4、500.4850.559 -141.411-140.3580.4080.507 -161.483-160.2660.3390.467 -181.557-180.1750.2830.442 -201.633-200.0830.2490.436 -221.703-22 #0.2450.447 -221.710-220.0090.2460.449 -241.789-240.1000.2760.480 -261.869-260.1920.3290.525 -281.950-280.2840.3970.581 -302.032-300.3760.4730.645 1 2 3 4 5 6 7 8 9 10
5、 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 Q R S T U V W X Y Z AA AB AC -0.8-0.7-0.6-0.5-0.4-0.3-0.2-0.100.10.200.30.4 1.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.000 1.0751.0661.0581.0491.0401.0311.0221.0131.0040.9950.9860.9760.967 1
6、.1521.1361.1201.1031.0861.0691.0521.0351.0170.9980.9800.9610.942 1.2311.2091.1861.1621.1381.1141.0891.0631.0371.0100.9830.9540.925 1.3121.2841.2551.2251.1951.1641.1321.0991.0651.0300.9940.9560.917 1.3941.3611.3271.2921.2561.2191.1811.1411.1001.0581.0130.9670.918 1.4781.4401.4011.3611.3201.2781.2341.
7、1891.1411.0921.0410.9860.929 1.5621.5201.4771.4331.3881.3411.2921.2411.1881.1331.0751.0130.948 1.6471.6021.5551.5071.4581.4071.3531.2981.2401.1801.1161.0480.975 1.7331.6841.6351.5831.5301.4751.4181.3591.2971.2311.1621.0891.010 1.8191.7681.7151.6611.6051.5461.4861.4231.3571.2871.2141.1361.052 1.8971.
8、8441.7891.7321.6731.6121.5491.4831.4141.3421.2651.1831.095 1.9061.8521.7971.7401.6811.6201.5561.4901.4201.3481.2701.1881.100 1.9931.9371.8791.8201.7581.6951.6281.5591.4871.4111.3311.2451.154 2.0812.0221.9631.9011.8371.7711.7021.6311.5561.4771.3941.3061.211 2.1692.1092.0471.9831.9171.8491.7781.7041.6
9、271.5461.4611.3701.273 2.2572.1952.1312.0661.9981.9281.8551.7801.7011.6181.5301.4381.339 -0.8-0.7-0.6-0.5-0.4-0.3-0.2-0.100.10.200.30.4 1.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.0001.000 0.9280.9380.9480.9570.9670.9760.9860.9951.0041.0131.0221.0311.040 0.8600.8810.9020.9220.9420.9610.
10、9800.9981.0171.0351.0521.0691.086 0.7970.8310.8630.8950.9250.9540.9831.0101.0371.0631.0891.1141.138 0.7400.7880.8330.8760.9170.9560.9941.0301.0651.0991.1321.1641.195 0.6900.7540.8120.8670.9180.9671.0131.0581.1001.1411.1811.2191.256 0.6500.7300.8020.8670.9290.9861.0411.0921.1411.1891.2341.2781.320 0.
11、6200.7160.8010.8780.9481.0131.0751.1331.1881.2411.2921.3411.388 0.6040.7150.8110.8970.9751.0481.1161.1801.2401.2981.3531.4071.458 0.6010.7250.8310.9251.0101.0891.1621.2311.2971.3591.4181.4751.530 0.6110.7460.8610.9611.0521.1361.2141.2871.3571.4231.4861.5461.605 0.6320.7750.8941.0001.0951.1831.2651.3
12、421.4141.4831.5491.6121.673 0.6350.7780.8981.0041.1001.1881.2701.3481.4201.4901.5561.6201.681 0.6710.8190.9441.0541.1541.2451.3311.4111.4871.5591.6281.6951.758 0.7170.8670.9951.1091.2111.3061.3941.4771.5561.6311.7021.7711.837 0.7710.9221.0521.1681.2731.3701.4611.5461.6271.7041.7781.8491.917 0.8310.9
13、831.1141.2321.3391.4381.5301.6181.7011.7801.8551.9281.998 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 AD AE AF AG AH AI AJ AKAAM 0.50.60.70.80.91.01.0in D8: 1.0001.0001.0001.0001.0001.0001.000 0.9570.9480.9380.9280.9180.9110.908in D1
14、0: 0.9220.9020.8810.8600.8390.8230.817in D11: 0.8950.8630.8310.7970.7620.7360.725 0.8760.8330.7880.7400.6890.6500.633in D13: 0.8670.8120.7540.6900.6200.5660.541in D14: 0.8670.8020.7300.6500.5590.4850.450 0.8780.8010.7160.6200.5070.4080.358 0.8970.8110.7150.6040.4670.3390.266 0.9250.8310.7250.6010.44
15、20.2830.175 0.9610.8610.7460.6110.4360.2490.083 1.0000.8940.7750.6320.4470.245 # 1.0040.8980.7780.6350.4490.2460.009 1.0540.9440.8190.6710.4800.2760.100 1.1090.9950.8670.7170.5250.3290.192 1.1681.0520.9220.7710.5810.3970.284 1.2321.1140.9830.8310.6450.4730.376 0.50.60.70.80.91.01.0 1.0001.0001.0001.
16、0001.0001.0001.000 1.0491.0581.0661.0751.0831.0891.092 1.1031.1201.1361.1521.1681.1791.183 1.1621.1861.2091.2311.2531.2691.275 1.2251.2551.2841.3121.3401.3591.367 1.2921.3271.3611.3941.4271.4491.459 1.3611.4011.4401.4781.5141.5401.550 1.4331.4771.5201.5621.6021.6301.642 1.5071.5551.6021.6471.6911.7211.734 1.5831.6351.6841.7331.7801.8121.825 1.6611.7151.7681.8191.8691.9031.917 1.7321.7891.8441.8971.9491.9852.000 1.7401.7971.8521.9061.9581.9942.009 1.8201.8791.9371.9932.0472.0852.1
