Optimal Hedging under Intertemporally Dependent Preferences
研究当消费者当前偏好受过去消费历史影响时，个体如何通过期货合约对冲价格风险，发现对冲比率的投机成分更小、消费路径更平滑。
This paper examines optimal hedging behavior in a market where preferences for current consumption are partly determined by the consumer's past consumption history. The model considers an individual exposed to price risk, who allocates wealth between consumption and futures contracts over a (continuous-time) finite planning horizon. The speculative component of the hedge ratio is shown to be smaller and the consumption path smoother than in models where preferences are separable over time. Some comparative-static properties of the hedge ratio are also examined.