出口企业的具有状态非独立效用的套期决策

Exporting Firm's Hedging Decision with State-dependent Utility

探讨了由于汇率的随机波动而面临着收益风险的风险厌恶竞争性出口企业的行为。这类企业可进入无偏差的外汇远期市场 ,在那里对外汇风险进行无成本套期保值。

The behavior of a risk averse competitive exporting firm which is exposed to revenue risk due to a randomly fluctuating exchange rate is studied.The standard approach by allowing for state dependent utility is extended.Whether the well known separation theorem and the full hedge theorem still hold in such a generalized framework are investigated.