投资者的财富水平的提升,可以增加该投资者的风险忍受程度,效用理论中的调和绝对风险厌恶(HARA)效用函数集合可以满足其风险忍耐是财富水平的增函数(线性),这类效用函数族和经验或直观认同非常吻合。
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假定投资者是绝对的风险厌恶者,其保值的目的是将风险最小化,由此得到最小方差下的套期保值比率。
Assume investors are absolute risk averter, and it is their aim to minimize its risk, and get hedge ratio under it.
假定投资者是绝对的风险厌恶者,其保值的目的是为了将风险最小化,由此可以得到最小方差下的套期保值比率。
The assumption that investors are absolute risk aversion, its value is designed to minimize the risks, which can be minimum variance under the hedging rate.
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