From hedging to speculation - An explanation based on prospect theory
文献类型：期刊论文
| 作者 | Liu, Qingwei1,2; Li, Yi2; Wang, Shouyang1
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2008-09-01 |
| 卷号 | 21期号:3页码:394-405 |
| 关键词 | hedging loss aversion prospect theory reference point |
| ISSN号 | 1009-6124 |
| 英文摘要 | This paper studies the impact of the reference point on a hedger's decision based upon prospect theory and experimental evidence on how prior outcomes affect risky choice. The authors show that in the futures market; a hedger who does not adjust his reference point timely would increase his positions continually as his accumulated losses increase, and finally become a speculator. Numerical simulation results under the normal distribution also lend support to the results. The model can help explain why the hedging behavior of firms turns into speculative activities and can offer some new insights into hedging behavior. |
| 资助项目 | National Natural Science Foundation[70221001] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000259101600006 |
| 出版者 | SPRINGER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/6586]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Liu, Qingwei |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Grad Univ, Sch Management, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Liu, Qingwei,Li, Yi,Wang, Shouyang. From hedging to speculation - An explanation based on prospect theory[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2008,21(3):394-405. |
| APA | Liu, Qingwei,Li, Yi,&Wang, Shouyang.(2008).From hedging to speculation - An explanation based on prospect theory.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,21(3),394-405. |
| MLA | Liu, Qingwei,et al."From hedging to speculation - An explanation based on prospect theory".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 21.3(2008):394-405. |
入库方式： OAI收割
来源：数学与系统科学研究院
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