A Note on Loss Aversion and Futures Hedging
研究了损失厌恶对空头套期保值者期货交易行为的影响，发现在无偏期货市场中损失厌恶无影响，而在期货升贴水市场中有不同可预测影响。
This note examines the effect of loss aversion on the futures trading behavior of a short hedger. Using a modified constant-absolute-risk-aversion utility function, I show that loss aversion has no effect in an unbiased futures market. It has different, predictable impacts when the futures market is in backwardation or contango. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 681–692, 2001