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Hedging and production decisions under uncertainty: A survey

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Author Info
Moawia Alghalith
Abstract

This paper synthesizes and analyzes some important current and recent contributions to the theory of the firm under uncertainty. In so doing, it examines the production and hedging decisions of the competitive firm under a single source and multiple sources of uncertainty.

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File URL: http://arxiv.org/abs/0810.0917
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File URL: http://arxiv.org/pdf/0810.0917
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0810.0917.

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Date of creation: Oct 2008
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Handle: RePEc:arx:papers:0810.0917

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  1. Pratt, John W, 1988. " Aversion to One Risk in the Presence of Others," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 395-413, December.
  2. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-23, September. [Downloadable!] (restricted)
  3. Moawia Alghalith, 2006. "A note on output hedging with cost uncertainty," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 27(5), pages 387-389. [Downloadable!]
  4. Viaene, Jean-Marie & Zilcha, Itzhak, 1998. "The Behavior of Competitive Exporting Firms under Multiple Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 591-609, August.
  5. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December. [Downloadable!] (restricted)
  6. John Quiggin, 2003. "Background risk in generalized expected utility theory," Economic Theory, Springer, vol. 22(3), pages 607-611, October. [Downloadable!] (restricted)
  7. Moawia Alghalith, 2006. "Hedging decisions with price and output uncertainty," Annals of Finance, Springer, vol. 2(2), pages 225-227, March. [Downloadable!] (restricted)
  8. Moawia Alghalith, 2003. "Input Demand under Multiple Uncertainty," Discussion Paper Series, Department of Economics 0304, Department of Economics, University of St. Andrews.
  9. Paroush, Jacob & Wolf, Avner, 1992. "The Derived Demand with Hedging Cost Uncertainty in the Futures Markets," Economic Journal, Royal Economic Society, vol. 102(413), pages 831-44, July. [Downloadable!] (restricted)
  10. Anderson, Ronald W & Danthine, Jean-Pierre, 1983. "Hedger Diversity in Futures Markets," Economic Journal, Royal Economic Society, vol. 93(37), pages 370-89, June. [Downloadable!] (restricted)
  11. Moawia Alghalith, 2007. "Input hedging: generalizations," Journal of Risk Finance, Emerald Group Publishing, vol. 8(3), pages 309-312, May. [Downloadable!] (restricted)
  12. Lapan, Harvey E. & Moschini, Giancarlo, 2002. "Futures Hedging Under Price, Basis and Production Risk," Staff General Research Papers 10041, Iowa State University, Department of Economics.
  13. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March. [Downloadable!] (restricted)
  14. Moawia Alghalith, 2003. "Cost uncertainty with multiple variable inputs," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(3), pages 290-290, September. [Downloadable!] (restricted)
  15. Alghalith, Moawia, 2006. "A note on hedging cost and basis risks," Economic Modelling, Elsevier, vol. 23(3), pages 534-537, May. [Downloadable!] (restricted)
  16. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2003. "Multiplicative Background Risk," CoFE Discussion Paper 03-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  17. Moavia Alghalith, 2002. "The Derived Demand with Hedging Cost Uncertainty in the Futures Markets: Note and Extensions," CRIEFF Discussion Papers 0210, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
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