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Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine

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  • Benoît Sévi

Abstract

This 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 Info

Article provided by De Boeck Université in its journal Recherches économiques de Louvain.

Volume (Year): 73 (2007)
Issue (Month): 2 ()
Pages: 217-228

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Handle: RePEc:cai:reldbu:rel_732_0217

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Web page: http://www.cairn.info/revue-recherches-economiques-de-louvain.htm

Related research

Keywords: quantity risk; multiplicative risk; forward trading; risk aversion; prudence;

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