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

Author

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  • Benoît SEVI

    (LASER - CREDEN)

Abstract

Cet article examine la décision optimale de couverture d'une firme faisant face à un double risque prix-quantité. Dans un cadre d'espérance d'utilité, nous montrons que la notion de prudence au sens de Kimball (1990) est essentielle dans la caractérisation de la position optimale de la firme sur le marché à terme. Plus surprenant, les notions d'aversion au risque et de prudence, peuvent donner lieu à des effets contraires, notamment lorsque la firme souhaite spéculer.

Suggested Citation

  • 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).
    • Handle: RePEc:ctl:louvre:2007025
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    File URL: http://sites.uclouvain.be/econ/DP/REL/2007025.pdf
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    Keywords

    Risque de santé; risque multiplicatif; marché à terme; aversion au risque; prudence;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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