A Stochastic Dominance Approach to Evaluating Foreign Exchange Hedging Strategies
提出一种基于随机占优规则的外汇对冲策略评估方法，该方法以利润、收益率等商业变量为基础，避免均值-方差准则在非正态分布下的问题，并通过交易风险对冲示例展示其实用性和理论合理性。
We offer a new approach to evaluating foreign exchange hedging strategies. The approach is practical since it is couched in terms of business variables such as profits, rates of return, and revenues. It is also consistent with utility-maximizing behavior since it is based on standard stochastic dominance rules. By taking account of all points of the hedging strategies' outcome distributions, the approach avoids the problems associated with popular selection procedures such as the mean-variance criterion. These problems can occur, for example, when the hedging outcome distributions are nonnormal. A stylized example for hedging transaction exposure is presented to demonstrate how the stochastic dominance evaluation methodology is easily implemented, that it is theoretically sound, and not restrictive in terms of its underlying assumptions.