Risk Aversion and the Recommended Hedging Ratio
研究非线性交易或存储成本如何使决策者的风险态度成为影响最优套期保值比率的关键因素，对期货市场参与者有参考价值。
Abstract Individual risk preferences can have important implications for commodity hedging decisions. Existing literature suggests that when cash and futures positions are treated as endogenous, the optimal hedge ratio is independent of the risk parameter. Under similar conditions we demonstrate that the existence of nonlinear transaction or storage costs makes the decision maker's attitude toward risk a relevant determinant of the size of the optimal hedge ratio.