基于效用理论的未定权益最优套期保值策略  

Optimal hedging strategy for contingent claims based on utility theory

作　　者：郭建华 GUO Jianhua(School of Economics and Management,Shaoyang University,Shaoyang 422000,China)

机构地区：[1]邵阳学院经济与管理学院,湖南邵阳422000

出　　处：《邵阳学院学报（自然科学版）》2023年第4期87-95,共9页Journal of Shaoyang University：Natural Science Edition

基　　金：湖南省教育厅资助科研项目(21C0589)。

摘　　要：基于投资者对风险的偏好差异视角,首先,把效用函数与风险厌恶系数相结合,构建不同风险偏好行为人的风险规避目标函数;然后,借助动态规划原理,提出未定权益套期保值策略的构造方法,计算不同时刻的最优套期保值比;最后,证明了在市场无套利的情况下,均方效用、幂效用目标下的最优套期保值比与风险规避系数无关,两者有相同的最优套期保值比。Based on the view of the differences among investors’attitude to financial risk,this paper firstly combined different utility functions and risk aversion coefficient.Different kinds of optimizing problems for hedgers to hedge for stochastic-payment-typed contingent claim were constructed.Based on dynamic programming theory,effective multi-stage hedging strategy was proposed for a risk-averse for a hedger.Finally,the research results show 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：效用函数 未定权益 套期保值 最优套期保值比 

分 类 号：F830[经济管理—金融学]