主题：Optimal hedging strategies: operational flexibility versus financial instruments（最优对冲策略：运筹管理的灵活性还是使用金融工具）

主讲人：新南威尔士大学 Li Yang教授

主持人：数学学院  余喜生博士

时间：2024年9月18日（周三）14:00

地点：柳林校区通博楼B412会议室

主办单位：数学学院  科研处

主讲人简介：

Dr. Li Yang received her BSc and MSc from Tsinghua University and her Ph.D. from the University of Illinois at Urbana and Champaign, and later joined the University of New South Wales and served as the Head of School for the School of Banking and Finance at the UNSW Business School from 2019-2022. Li’s primary research interests include risk management, energy and commodity markets, and financial modelling.  She has published in leading journals in the field including Management Science, Journal of Banking and Finance, and Energy Economics.  She has been awarded two Australian Research Council Discovery grants and one ARC Linkage grant.

内容提要：

There are two streams of literature studying optimal hedging decisions. The literature in finance often examines firm’s hedging policies assuming that production decision has already been made. It mainly concentrates on managing the price risk that affects the variability of firm’s cash flows. On the other hand, in the management and operational research field, the literature considers that both production and hedging decisions are determined jointly so that some of risks can be managed through operational flexibility. Our paper takes advantages of two streams of literature and proposes a theoretical model to study optimal production and hedging decisions jointly for a multinational firm that faces exchange rate uncertainty and demand shocks for its products at different locations caused by the change in economy and regulatory policies. We then verify the implications empirically.

研究最优对冲决策有两类主流文献。金融领域的文献通常在假设生产决策已经确定的情况下，来研究企业的对冲政策；主要集中于管理影响企业现金流波动的价格风险。另一方面，管理和运筹学领域的文献则认为生产决策和对冲决策是交互决定的，从而通过运筹灵活性来管理部分风险。我们的论文结合了这两类文献的优势，并提出了一个理论模型，以研究在面临汇率不确定性以及因经济和监管政策变化而导致（不同地点）的产品需求冲击情况下，跨国企业的最优生产和对冲决策。随后，我们进行了实证应用检验。