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Expected Utility Maximization With Truncated Distributions: An Application Of The Mean-Value Theorem

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Author Info
YONG SAKONG
DERMOT J. HAYES

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Abstract

The behavior of an expected utility-maximizing agent with access to both futures and options markets and who faces both price and production uncertainty is examined. Results are compared with those without production uncertainty and for the mean-variance case. [D1]

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Publisher Info
Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 9 (1995)
Issue (Month): 3 (October)
Pages: 35-48
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Handle: RePEc:taf:intecj:v:9:y:1995:i:3:p:35-48

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  1. Wolf, Avner, 1987. "Optimal hedging with futures options," Journal of Economics and Business, Elsevier, vol. 39(2), pages 141-158, May. [Downloadable!] (restricted)
  2. Newbery, David M, 1989. "The Theory of Food Price Stabilisation," Economic Journal, Royal Economic Society, vol. 99(398), pages 1065-82, December. [Downloadable!] (restricted)
  3. Losq, Etienne, 1982. "Hedging with price and output uncertainty," Economics Letters, Elsevier, vol. 10(1-2), pages 65-70. [Downloadable!] (restricted)
  4. Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145. [Downloadable!] (restricted)
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