Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic
构建并求解了产量随机时的动态对冲问题，通过数值分析收入分布，帮助分析师选择风险厌恶参数以获得偏好的收入分布。
Abstract A dynamic hedging problem with stochastic production is formulated and solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This information enables the analyst to select the risk aversion parameter that results in the preferred distribution of revenue.