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.
The effects of an investor＇risk-averse degrees on his optimal hedge ratio was examined within the general Ex pected Utility framework. Firstly, we provided a set of conditions on the utility function, which can enable the investor to a dopt 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.
出处
《经济数学》
2013年第3期12-17,共6页
Journal of Quantitative Economics
基金
教育部人文社科基金(10YJC630051)
国家自然科学基金(71261010
71273271)
