风险规避和最优套期保值比率
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引用本文:李江峰1,付剑茹2,张顺明3.风险规避和最优套期保值比率[J].经济数学,2013,(3):12-17
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作者单位
李江峰1,付剑茹2,张顺明3 (1.九江学院 理学院, 江西 九江3320052.九江学院 会计学院 江西 九江3320053.中国人民大学 财政金融学院北京100872) 
中文摘要:在一般的期望效用框架下,研究投资者的风险厌恶态度对于其套期保值策略的影响.首先,给出了投资者采用不同套期保值策略时,效用函数应该满足的条件;其次,讨论了期望效用框架下,Rubinstein整体风险厌恶度量与经典的Arrow Pratt局部风险厌恶度量和更强的Ross的风险度量之间的关系,提出了一组条件,使得在该组条件下,风险厌恶的人际间比较可以用Rubinstein整体风险厌恶度量来刻画;最后,在现货和期货服从正态分布的假设下,使用之前提出的条件,研究投资者风险厌恶程度对于其持有的最优套期保值比率的影响.
中文关键词:套期保值比率  期望效用  风险厌恶
 
Risk Aversion and Optimal Hedge Ratio
Abstract:The effects of an investor'risk averse degrees on his optimal hedge ratio was examined within the general Expected Utility framework. Firstly, we provided a set of conditions on the utility function, which can enable the investor to adopt the corresponding hedging strategy. Secondly, several relationships among Rubinstein's global risk aversion measuring, Arrow Pratt absolute risk aversion coefficient and Ross's strong risk aversion measuring were discussed, and we derived a set of conditions under which the interpersonal comparison of risk aversion can be characterized by Rubinstein's risk aversion index. Finally, we also studied the effects of the investor's risk aversion degrees on his optimal hedge ratio under the assumption of the returns of the future and the spot obeying normal distribution.
keywords:optimal hedge ratio  expected utility  risk averse
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