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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/108378

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/108378

    Title: Good Approximation of Exponential Utility Function for Optimal Futures Hedging
    Authors: Xu-Guo;Donald Lien;黃永強;WONG,WING-KEUNG
    Contributors: 財務金融學系
    Date: 2017-08
    Issue Date: 2017-12-08 14:06:35 (UTC+8)
    Abstract: Within the optimal production and hedging decision framework, Lien compares the exponential utility function with its second order approximation under the normality distribution assumption. In this paper, we first extend the result further by comparing the exponential utility function with a 2n-order approximation for any integer n. We then propose an approach with illustration to find the smallest n that provides a good approximation.
    Appears in Collections:[財務金融學系] 期刊論文

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