In this paper,the hedging efficiency evaluation model based on investors\' utility is presented,and a study using the empirical data of Shanghai Copper,Zhengzhou Wheat and Dalian Beans is conducted.

This paper assumes that the underlying price obeys a renewal jump-diffusion process, studies how to determine a sound hedge ratio when given an acceptable probability of hedge failing, and suggests the way to assume the parameter of calculating the optimal hedge ratio which is finally validated with an example.

Optimal hedge ratio is estimated under different time scales by taking minimum semivariance as hedge target.

Supposing the action of spot price and future price obey Brownian Motion, and by using logarithmic function as the utility functions of spot price and future price, we get hedging ratio, total risk of hedging, short hedging risk and long hedging risk.

Improved method for calculating optimal hedge ratio of freight index future;

Calculation methods and Empirical Research on the Minimum Risk Hedge Ratio of the Stock Index Futures;

Improved method for calculating hedge ratio of stock index future;

With the database of daily Copper futures contracts on Chinese market,optimal hedge ratios are cal- culated applying the ordinary least squares(OLS) regression model,the error-correction model(ECM)and the multivariate Garch model.