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Loss Aversion and VaR-based Reference Points: Optimal Risk Management Using Options
|引用:||Ahn, Dong-Hyun, Jacob Boudoukh, Matthew Richardson, and Robert F. Whitelaw,1997, Optimal Risk Management Using Options, NBER Working Paper 6158. Ahn, Dong-Hyun, Jacob Boudoukh, Matthew Richardson, and Robert F. Whitelaw,1999, Optimal Risk Management Using Options, The Journal of Finance 54, 359-375. Artzner, Philippe, Jean-Marc Eber, and David Heath, 1999, Coherent Measures of Risk, Mathematical Finance 9, 203-228. Arzac, Enrique R., 1974, Utility Analysis of Chance-Constrained Portfolio Selection, Journal of Financial and Quantitative Analysis 8, 993-1007. Barberis, Nicholas, and Richard Thaler, 2002, A survey of Behavioral Finance, NBER Working Paper 9222. Basak, Suleyman, and Alexander Shapiro, 2001, Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices, The Review of Financial Studies 14, 371-405. Campell, John, 2000, Asset Pricing at the Millennium, Journal of Finance 55, 1515-1567. Edwards, Kimberley.D, 1995, Prospect Theory: A Literature Review, International Review of Financial Analysis 5, 19-38. Gul, Faruk, 1991, A Theory of Disappointment Aversion, Econometrica 59, 667-686. Harris, Richard D.F., and Jian Shen, 2005, Hedging And Value At Risk, The journal of Futures Markets 25, 369-390. Jia, Jianmin, James S. Dyer, and John C. Butler,1997, Generalized Disappointment Models, working Paper. Kahneman, Daniel, and Amos Tversky, 1979, Prospect Theory: An Analysis of Decision Making under Risk, Econometrica 47, 263-291. Kahneman, Daniel, and Amos Tversky, 1992, Advance in Prospect Theory: Cumulative Representation of Uncertainty, Journal of Risk and Uncertainty 5, 297-323. Kast, Robert, Elisa Luciano, and Lorenzo Peccati, 1999, Value-at-Risk as a decision criterion. working Paper. 36 Roy, A.D., 1952, Safety-First and the Holding of Assets, Econometrica 431-449. Shefrin, Hersh, and Meir Statman, 2000, Behavioral Portfolio Theory, Journal of Financial and Quantitative Analysis 35. Telser, Lester G., 1955, Safety First and Hedging, Review of Economic Studies 23, 1-16.|
|摘要:||The goal of this paper is to discuss that hedging with options in the view of behavioral finance. An idea similar to Value at Risk is used to decide the reference point for the loss averse utility. Because this decision rule is easy to be extended, not only one-layerbut also two-layer loss aversion are considered in this thesis. How an investor with this kind of utility decides the optimal strike price and hedge ratio will be studied. The results point out that in the case of one-layer loss aversion, investorswould prefer the hedge ratio to be close to 1 as could as possible, and meanwhile, all optimal strike prices are chosen to be higher than the reference points. As to the case of two-layer loss aversion, it is found the ratio of two loss averse coefficients is the dominant factor for the optimal hedge strategy by options. The larger the ratio of the second-layer loss averse coefficient to the first-layer loss averse coefficient, the smaller optimal strike price is chosen. Finally, results in the case of one-layer loss aversion are compared with those in the case of two-layer loss aversion.The two sets of the reference point and the loss averse coefficient applied in the case of two-layer loss aversion are divided into two parts in the case of one-layer loss aversion. It is discovered that except in the case of the step utility, the optimal strike prices in the case of two-layer loss aversion are between the two reference points and much closer to the second reference point.|
|Appears in Collections:||財務金融學系所|
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