Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine
AbstractThis paper studies the optimal hedging policy of a risk-averse firm facing both price and quantity uncertainties. In an expected utility framework, prudence in the Kimball?s (1990) sense is shown to play a major role in the characterization of the optimal hedging policy. More surprising is the possibility of conflicting effects between risk aversion and prudence, when the firm wishes to speculate. JEL Classification: D81, G10.
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Bibliographic InfoArticle provided by De Boeck Université in its journal Recherches économiques de Louvain.
Volume (Year): 73 (2007)
Issue (Month): 2 ()
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Web page: http://www.cairn.info/revue-recherches-economiques-de-louvain.htm
quantity risk; multiplicative risk; forward trading; risk aversion; prudence;
Other versions of this item:
- Benoît SEVI, 2007. "Préférences par rapport au risque et marchés à terme : le cas d’une quantité incertaine," Discussion Papers (REL - Recherches Economiques de Louvain) 2007025, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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