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英文文献：The Impact of Price-Induced Hedging Behavior on Commodity Market Volatility-价格诱导的对冲行为对商品市场波动的影响
英文文献作者：Kauffman, Nathan S.,Hayes, Dermot J.
英文文献摘要：
The utility maximization problem of a grain producer is formulated and solved numerically under prospect theory as an alternative to expected utility theory. Conventional theory posits that the optimal hedging position of a producer is not affected solely due to changes in the level of futures prices. However, a strong degree of positive correlation is apparent in the data. Our results show that with prospect theory serving as the underlying behavioral framework, the optimal hedge of a producer is affected by changes in futures price levels. The implications of this price-induced hedging behavior on spot prices and volatility are subsequently considered.
在预期效用理论的基础上，用前景理论对粮食生产者的效用最大化问题进行了数值求解。传统理论认为，生产者的最优对冲头寸不会仅仅因为期货价格水平的变化而受到影响。但是，在数据中有很强的正相关。结果表明，在前景理论作为潜在的行为框架下，生产者的最优套期保值会受到期货价格水平变化的影响。随后考虑了这种价格诱导的对冲行为对现货价格和波动性的影响。
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