中文摘要：

最小方差套期保值策略没有考虑均值信息,没有考虑成本和收益,不能区分买入和卖出.针对这一缺陷,本文在最小VaR套期保值策略框架下,提出了市场状态依存的套期保值策略,以区分买入套期保值和卖出套期保值,利用市场状态的信息来改善套期保值的财务表现.本文首先在理论上比较了市场状态依存策略与最小方差策略的套期保值比、套期保值的成本或收益,进一步基于铜期货市场、原油期货市场的数据实证比较了这两种策略的财务表现.理论和实证结果均表明：相对于最小方差套期保值策略,市场状态依存的买入套期保值策略的成本更低,卖出策略的收益更高;最后,讨论了此策略的应用范围和局限性.

英文摘要：

The drawback of minimum variance hedge strategy is that it does not consider hedge cost and income so that buying hedge and selling hedge cannot be distinguished, which stems from the hedge strategy that does not take the information of mean into account. This paper puts forward market state dependent hedge strategy under the framework of minimum VaR hedge strategy. It can distinguish between buying and selling hedge, and effectively use market status information to improve the financial performance of hedging. The paper first theoretically compared the hedge ratio of market state dependent strategy and minimum variance strategy, and their hedge cost or income; further based on copper futures market and crude oil futures market data, made an empirical comparison of the financial performance of these two strategies. Both the theoretical and empirical results show that： compared to minimum variance hedging strategy, market state dependent buying hedge strategy undertakes lower cost, and market state dependent selling hedge strategy gets higher income; at last, the paper discussed the strategy＇ s application scope and limitation.