Hedging With Price And Output Uncertainty

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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.

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.

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.

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.

The Time Pattern Of Hedging And The Volatility Of Futures Prices

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Author : Ronald W. Anderson
language : en
Publisher:
Release Date : 1980

The Time Pattern Of Hedging And The Volatility Of Futures Prices written by Ronald W. Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Futures market categories.

Seasonal Patterns Of Futures Hedging And The Resolution Of Output Uncertainty

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Author : David A. Hirshleifer
language : en
Publisher:
Release Date : 2008

Seasonal Patterns Of Futures Hedging And The Resolution Of Output Uncertainty written by David A. Hirshleifer 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.

Optimal futures hedging is examined in a two-good model with stochastic output and sequential information arrival. A producer's optimal hedge depends on demand elasticity, sensitivity of his output to weather, his correlation with aggregate output, and how rapidly his output uncertainty is resolved relative to other producers during different seasonal periods. Because regional output uncertainties are resolved at different times, the optimal futures position of a grower will commonly reverse in direction during the crop year. A producer with non-stochastic output who faces price risk arising from demand shocks may remain unhedged or even maintain a long position.

Multiple Uncertainty Forward Futures Markets And International Trade

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Author : Jean-Marie Viaene
language : en
Publisher:
Release Date : 1995

Multiple Uncertainty Forward Futures Markets And International Trade written by Jean-Marie Viaene and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Foreign exchange rates categories.

Tiivistelmä.

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.

Uncertainty The Cost Of Hedging Exchange Risk And International Trade

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Author : Philip Michael Young
language : en
Publisher:
Release Date : 1984

Uncertainty The Cost Of Hedging Exchange Risk And International Trade written by Philip Michael Young and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.

Pricing And Hedging In Incomplete Markets With Model Uncertainty

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Author : Anne Balter
language : en
Publisher:
Release Date : 2018

Pricing And Hedging In Incomplete Markets With Model Uncertainty written by Anne Balter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

We search for a trading strategy and the associated robust price of unhedgeable assets in incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we postulate an agent who wants to maximise the expected surplus by choosing an optimal investment strategy. Furthermore, we assume that the agent is concerned about model misspecification. This robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or short position, and the adjustment that ensures a robust strategy leads to what is known as "actuarial" or "prudential" pricing. Our results extend to a multivariate setting. We prove existence and uniqueness of the robust price in an incomplete market via the link between the semilinear partial differential equation and backward stochastic differential equations.