The Importance of Financial Leverage and Risk Aversion in Risk‐Management Strategy Selection
使用含无风险资产的随机占优准则，分析风险管理策略的选择，发现考虑杠杆后，低风险低回报高杠杆策略可能优于高风险高回报策略，且加入无风险资产能显著提升判别力。
Abstract The problem of choice among risk‐management strategies is addressed with the stochastic dominance with a risk‐free asset (SDRA) criteria. The SDRA criteria consider all possible combinations of the strategies and financial leverage. This allows for strategies with less business risk, less expected return, and greater leverage to dominate strategies with greater business risk and greater expected return. Results show that the inclusion of the risk‐free asset significantly improves the discriminatory power of the ordinary stochastic dominance criteria for the case of risk‐management strategies.