价格和产量随机跳跃时的动态最优对冲比率设计

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2022-05-02 DOI:10.1007/s10436-022-00410-1

Nyassoke Titi Gaston Clément, Sadefo Kamdem Jules, Fono Louis Aimé

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引用次数: 0

摘要

在本文中，当价格和产出过程随机相关并用跳跃-扩散模型表示时，我们关注的是农民在使用商品期货时的风险收益。我们评估农民财富的预期效用，并在给定收获时间和状态变量的情况下，确定每个时间点的最佳消费率和对冲头寸。在具有CARA效用的投资者的情况下，我们找到了最优消费和定位率的闭合形式。该结果（见表3.3）是Ho（J Financ 39:351-3761984）结果的推广，该结果考虑了价格和产量是扩散模型的特殊情况。

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Dynamic optimal hedge ratio design when price and production are stochastic with jump

In this paper, we focus on the farmer’s risk income when using commodity futures, when price and output processes are randomly correlated and represented by jump-diffusion models. We evaluate the expected utility of the farmer’s wealth and determine the optimal consumption rate and hedging position at each point in time given the harvest timing and state variables. We find a closed form for the optimal consumption and positioning rate in the case of an investor with CARA utility. This result (see Table 3.3) is a generalization of the result of Ho (J Financ 39:351–376, 1984), which considers the special case in which price and output are diffusion models.

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance