Optimal Hedging Policise 最佳对冲政策journal of finance & quantitative Analysis,19(June 1984):127-40  文章

文件大小：3.05MB
作者：Stulz,R.M.
I, Introduction and Summary
This paper makes conlributions in two directions. First, the paper presents a
model in which viilue maxitnizing firms pursue active hedging ptilicies. Second,
the paper derives optimal hedging policies for risk-averse agents. Whereas the
niethtKlology used and the results provided are quite general, tbis paper deliber-
ately focuses the analysis on hedging foreign exchange exposure through forward
contracts on foreign currencies.' This emphasis is explained by the tact tbat
hedging foreign currency exposure through forward contracts has been a topic t>f
considerable interest in recent years.'
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