%0 Journal Article
%T The Optimal Hedging Ratio for Contingent Claims Based on Different Risk Aversions
%A Jianhua Guo
%J Open Journal of Business and Management
%P 447-454
%@ 2329-3292
%D 2019
%I Scientific Research Publishing
%R 10.4236/ojbm.2019.72030
%X Based
on utility theory, this paper firstly combined different utility functions with
risk aversion coefficient and constructed different kinds of optimizing </span><span style=\"font-family:Verdana;\">problems for hedgers to hedge for
stochastic-payment-typed contingent</span><span style=\"font-family:Verdana;\"> 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.
</p>
%K Risk Aversion
%K Contingent Claim
%K Hedging
%K The Optimal Hedging Ratio
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=90974