文章基本信息

标题：The Optimal Hedging Ratio for Contingent Claims Based on Different Risk Aversions
本地全文：下载
作者：Jianhua Guo
期刊名称：Open Journal of Business and Management
印刷版ISSN：2329-3284
电子版ISSN：2329-3292
出版年度：2019
卷号：07
期号：02
页码：447-454
DOI：10.4236/ojbm.2019.72030
出版社：Scientific Research Publishing
摘要：Based on utility theory, this paper firstly combined different utility functions with risk aversion coefficient and constructed different kinds of optimizing problems for hedgers to hedge for stochastic-payment-typed contingent claim, and then, by the aid of dynamic programming theory, effective multi-stage hedging strategy is proposed for different risk-averse hedgers. Lastly, the research results that the optimal hedging ratios for three kinds of utility functions are equivalent and do not relate to the risk aversion coefficient.
关键词：Risk Aversion;Contingent Claim;Hedging;The Optimal Hedging Ratio