Hedging And Output Decisions Under Price And Output Uncertainty
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Hedging And Output Decisions Under Price And Output Uncertainty
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Author : Michael Hoy
language : en
Publisher: London : Department of Economics, University of Western Ontario
Release Date : 1983
Hedging And Output Decisions Under Price And Output Uncertainty written by Michael Hoy and has been published by London : Department of Economics, University of Western Ontario this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Hedging categories.
New Economics Of Risk And Uncertainty
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Author : Moawia Alghalith
language : en
Publisher: Nova Publishers
Release Date : 2007
New Economics Of Risk And Uncertainty written by Moawia Alghalith and has been published by Nova Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
Presents an alternative theoretical framework that can serve as the basis for a new age of economic analysis under risk and uncertainty. This work features an endogenous theory that overcomes the major shortcomings of both the expected utility and the rank-dependent models while it possesses the merits of both.
Hedging With Price And Output Uncertainty
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Author : Etienne Losq
language : en
Publisher:
Release Date : 1982
Hedging With Price And Output Uncertainty written by Etienne Losq and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with categories.
Forward Markets And The Behaviour Of The Competitive Firm With Production Flexibility
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Author : Kit Pong Wong
language : en
Publisher:
Release Date : 2003
Forward Markets And The Behaviour Of The Competitive Firm With Production Flexibility written by Kit Pong Wong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
This paper examines the production and hedging decisions of the competitive firm under output price uncertainty when a forward market for its output is available. The firm possesses production flexibility in that it makes its production decision after the resolution of the output price uncertainty, albeit subject to a capacity constraint on production. We show that the firm optimally acquires a higher level of capacity investment than an otherwise identical firm with no production flexibility. We further show that production flexibility allows the firm to implicitly hedge against its output price risk exposure by the production decision. The firm as such under-hedges its output price risk exposure in the forward market wherein the forward price contains a non-positive risk premium.
Hedging Output Price And Cost Uncertainty
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Author : Moawia Alghalith
language : en
Publisher:
Release Date : 2003
Hedging Output Price And Cost Uncertainty written by Moawia Alghalith and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Costs, Industrial categories.
Hedging And The Regret Theory Of The Competitive Firm
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Author : Udo Broll
language : en
Publisher:
Release Date : 2019
Hedging And The Regret Theory Of The Competitive Firm written by Udo Broll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper examines the production and hedging decisions of the competitive firm under price uncertainty when the firm is not only risk averse but also regret averse. Regret-averse preferences are characterized by a modified utility function that includes disutility from having chosen ex-post suboptimal alternatives. The extent of regret depends on the difference between the actual profit and the maximum profit attained by making the optimal production and hedging decisions had the firm observed the true realization of the random output price. While the separation theorem holds under regret aversion, the prevalence of hedging opportunities may have perverse effect on the firm's optimal output level, particularly when the firm is sufficiently regret averse. The full-hedging theorem, however, does not hold. We derive sufficient conditions under which the regret-averse firm's optimal futures position is an under-hedge (over-hedge). We further show that the firm optimally increases (decreases) its futures position when the price risk possesses more positive (negative) skewness.
Production And Anticipatory Hedging Under Time Inconsistent Preferences
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Author : Donald D. Lien
language : en
Publisher:
Release Date : 2015
Production And Anticipatory Hedging Under Time Inconsistent Preferences written by Donald D. Lien and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This paper analyzes the production and hedging decisions of a competitive firm under price uncertainty and time-inconsistent preferences. We show that the firm would over-hedge and the output choice would be affected by the firm's preferences and the price distribution, thereby identifying a novel circumstance under which the full-hedge theorem and the separation theorem may fail. Furthermore, when the firm can hedge at the same time as production or ahead of production, ex ante firm value is higher in the former case, suggesting that planning ahead for price risk may backfire in the presence of time-inconsistent preferences.
Skewness Aversion Output Uncertainty And Hedging In A Futures Market
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Author : Uri Ben-Zion
language : en
Publisher:
Release Date : 2008
Skewness Aversion Output Uncertainty And Hedging In A Futures Market written by Uri Ben-Zion and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper presents a simple theoretical equilibrium model for the competitive commodity futures market where the agents face both price and output uncertainty. Three groups of agents, producers, entrepreneurs and speculators are introduced. A three-moment expected utility function is applied which accounts for both volatility and negative skewness aversion (prudence). We show that negative skewness aversion reduces the hedging incentive of the producer (farmer) and in some cases causes the latter to enter speculative positions in a futures market. In addition, we show that in presence of agents with three-moment expected utility function an equilibrium futures price is positively biased estimator of the expected market price in comparisson to the classical case of agents with mean-variance preferences.
Production Flexibility And Hedging
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Author : Georges Dionne
language : en
Publisher:
Release Date : 2014
Production Flexibility And Hedging written by Georges Dionne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Entry Imperfect Competition And Futures Market For The Input
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Author : Georges Dionne
language : en
Publisher:
Release Date : 2014
Entry Imperfect Competition And Futures Market For The Input written by Georges Dionne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We analyze firms' entry, production and hedging decisions under imperfect competition. We consider an oligopoly industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then compete in Cournot with one another. Each firm faces uncertainty in the input cost when making production decision, and has access to the futures market to hedge the random cost. We provide two sets of results. First, under general assumptions about risk preferences, demand, and uncertainty, we characterize the unique equilibrium. In contrast to previous results in the literature (without entry), both production and output price depend on uncertainty and risk aversion. Specifically, when entry is endogenized and the futures price is not actuarially fair, access to the futures market does not lead to separation. Second, to study the effect of access to the futures market on entry and production, we restrict attention to constant absolute risk aversion (CARA) preferences, a linear demand, and a normal distribution for the spot price. In general, the effect of access to the futures market on the number of firms and production is ambiguous.The appendices for this paper are available at the following URL: "http://ssrn.com/abstract=2450698" http://ssrn.com/abstract=2450698.
