科研之友
微信
新浪微博
Facebook
分享链接
摘要
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.
- 出版日期2001-7
