其他摘要：This paper proposes a “dynamic hedging model”, which adjusts the hedging strategies by the time, to increase the hedging performance. The dynamic hedging model is combined with the traditional hedging strategy (e.g. Delivery Forward) and the basket currency hedging. The traditional hedging strategy covers the whole risk, in the mean time, the basket currency reduce the hedging cost. Therefore, we establish the position of basket currency first, and execute this strategy when its hedging cost is lower than the traditional hedging strategy; otherwise, we execute the traditional hedging strategy. Besides, for establishing a more precise position of basket currency, we also use artificial intelligence to forecast the exchange rate, which is expected to estimate the currency weight in a basket more precisely. Empirically, the dynamic hedging model we propose performs much better than either the traditional hedging strategy or basket currency hedging strategy. In addition, due to the way of using two-year estimation period and adding forecast technology to correct the estimation got the best performance, we recommend this model to be a reference of a company’s hedging behavior.
