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摘要翻译：
风险厌恶是效用最大化对冲策略的关键因素；然而，在文献中，它通常被赋予一个任意值。本文采用GARCH-in-Mean（GARCH-M）模型来估计一个基于观察到的能源套期保值市场参与者的风险偏好的时变风险厌恶度量。所得估计被应用于导出空头套期保值者和多头套期保值者的显式基于风险厌恶的最优套期保值策略。样本外的结果也是基于一种独特的方法，允许我们预测风险厌恶，从而估计对冲策略，以解决能源对冲者的潜在未来需求。我们发现基于风险厌恶的套期保值与简单的OLS套期保值有显著的不同。当在样本中实施时，空头套期保值者的风险规避套期保值在基于效用的比较中优于OLS套期保值比率。
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英文标题：
《Time Varying Risk Aversion: An Application to Energy Hedging》
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作者：
John Cotter and Jim Hanly
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison.
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PDF链接：
https://arxiv.org/pdf/1103.5968
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