Optimal Hedging with a Subjective View: An Empirical Bayesian Approach
提出一种经验贝叶斯最优对冲模型，能同时处理参数估计风险和融入主观观点，为对冲者提供结合个人判断与市场共识的定量框架。
The standard optimal hedging model has been the preferred theoretical model of normative hedging behavior. In empirical applications, the model is often implemented with the parameter certainty equivalent (PCE) procedure. However, the PCE procedure completely ignores parameter estimation risk and subjective views. We develop an “empirical” Bayesian optimal hedging model that not only effectively accommodates parameter estimation risk, but also provides hedgers with a theoretically intuitive yet quantitatively rigorous framework to blend their subjective views and a “marketwide” or “firmwide” consensus in determining optimal hedging positions (ratios).