Optimal Hedge Ratios with Risk‐Neutral Producers and Nonlinear Borrowing Costs
推导了在生产者风险中性、远期定价有成本且借贷成本非线性的条件下，企业的最优对冲比率，发现高杠杆企业比低杠杆企业对冲更多，且当资本价值与产出价格不相关时，现金价格波动越大，企业对冲越多。
Abstract A new theory of hedging is derived assuming producers are risk neutral, forward pricing is costly, and borrowing costs are nonlinear. The standard risk‐minimizing hedge ratio is derived when forward pricing is costless. When the assumption of costless hedging is dropped, high‐leveraged firms are shown to hedge more than do low‐leveraged firms. If the value of capital is uncorrelated with output price, firms are shown to hedge more as cash price variability increases. Thus, the model can be consistent with what firms actually do.