Optimism and pessimism in commodity price hedging
用等级依赖效用模型研究玉米买家的期货和期权对冲策略，发现交易者的乐观或悲观程度、风险厌恶和交易成本决定了其是投机者还是对冲者。
Rank dependent utility is used to model the use of corn futures and options on corn futures for a corn buyer. Optimal futures and options positions are numerically calculated by maximising rank dependent utility for a variety of cases. The cases represent three different types of agents--pessimists, strong optimists and weak optimists--for several levels of risk aversion, with and without transactions costs. Whether or not an agent trades as a speculator or a hedger is found to depend on his level of optimism or pessimism, risk aversion and transactions costs. Copyright 2004, Oxford University Press.