Optimal Hedge for Value-Maximizing Firms and Risk-Averse Agents, A General Model

A stochastic solution is proposed for a general problem of demand for risks with both value-maximizing firms and risk averse agents. Explicit solutions are possible for both models when the interesting risk is perceived to be fairly-priced by the two decision makers

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Year of publication:	2015
Authors:	Yuan, Yiyong
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Hedging \| Risikoaversion \| Risk aversion

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 7, 2015 erstellt
Other identifiers:	10.2139/ssrn.2561836 [DOI]
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013028600