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

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.

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Year of publication:	2007
Authors:	Sévi, Benoît
Published in:	Recherches économiques de Louvain. - De Boeck Université. - Vol. 73.2007, 2, p. 217-228
Publisher:	De Boeck Université
Subject:	quantity risk \| multiplicative risk \| forward trading \| risk aversion \| prudence

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005560127