stemming from abroad and derive the equilibrium demand for forward contracts. It turns out that risk averse agents will not buy … aforementioned literature obsolete. Using real world data for Germany we calibrate our model. We find that in equilibrium risk averse …

series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both …. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons.However, if …Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an …

In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects … are financed. This result, however, crucially depends on the definition of risk. Using the second-order stochastic … dominance criterion introduced by ROTHSCHILD AND STIGLITZ [1970], we show that it is not a project's high risk, induced by a …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

these instruments in the banking in- dustry which is heavily exposed to credit risk. However, while recent literature mainly …