| 投资者对待损失的态度与套期保值策略间的关系 |
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| 引用本文： | 陈洁,袁象,赵世英.投资者对待损失的态度与套期保值策略间的关系[J].系统管理学报,2004,13(6):485-489. |
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| 作者姓名： | 陈洁 袁象 赵世英 |
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| 作者单位： | 1. 上海交通大学,安泰管理学院,上海,200030
2. 上海海事大学,上海,200135 |
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| 摘 要： | 对于理性的投资者而言,对待损失都持厌恶的态度,但在进行套期保值交易时,很少有人考虑对待损失的态度对套期保值策略的影响。文中计算了考虑投资者对待损失态度的情况下的最优套期保值比率,并与传统的不考虑的情形进行了对比,然后研究了在不同情况下,投资者对待损失的态度如何影响套期保值策略,最后算例分析,进一步验证了结论的正确性。
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| 关 键 词： | 厌恶损失 套期保值 效用函数 期货溢价市场 期货反转市场 |
| 文章编号： | 1005-2542(2004)06-0485-05 |
| 修稿时间： | 2002年1月23日 |
Study on the Relatiohship Between Investor's Attitude Towards Loss and Hedge Strategy |
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| CHEN Jie,YUAN Xiang,ZHAO Shi-ying.Study on the Relatiohship Between Investor''''s Attitude Towards Loss and Hedge Strategy[J].Systems Engineering Theory·Methodology·Applications,2004,13(6):485-489. |
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| Authors: | CHEN Jie YUAN Xiang ZHAO Shi-ying |
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| Abstract: | Rational investors always take averse attitude towards loss, but when handling hedge, people seldom consider the loss aversion. The article calculated the optimal hedge ratio when taking the consideration of loss aversion, which was the different way with the traditional one. The article also studied the influence of the investor's attitude on the hedge strategy by examples. |
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| Keywords: | loss aversion hedge utility function contango backwardation |
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