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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.

Suggested Citation

  • Benoît Sévi, 2007. "Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine," Recherches économiques de Louvain, De Boeck Université, vol. 73(2), pages 217-228.
  • Handle: RePEc:cai:reldbu:rel_732_0217
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    Keywords

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

    JEL classification:

    • 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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