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Price risk and risk management in agriculture

Broll, Udo; Welzel, Peter; Kit, Pong Wong - In: Contemporary economics 7 (2013) 2, pp. 17-20

This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market...

Persistent link: https://www.econbiz.de/10009770293

Price Risk and Risk Management in Agriculture

Broll, Udo - 2013

Persistent link: https://www.econbiz.de/10013079875

Der Einfluß von nicht-hedgebaren Risiken auf Exportproduktion und Risikopolitik

Broll, Udo - 1993

Persistent link: https://www.econbiz.de/10000374381

The competitive firm under price uncertainty : the role of information and hedging

Broll, Udo; Eckwert, Bernhard - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10003771578

Value at risk, equity and diversification

Broll, Udo (contributor); Wahl, Jack E. (contributor) - 2006

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential of its portfolio, on the other hand, when...

Persistent link: https://www.econbiz.de/10003326661

The firm under uncertainty : capital structure and background risk

Broll, Udo; Wong, Keith K.P. - 2010

This paper examines the interplay between the real and financial decisions of the competitive firm under output price uncertainty. The firm faces additional sources of uncertainty that are aggregated into a background risk. We show that the firm always chooses its optimal debt-equity ratio to...

Persistent link: https://www.econbiz.de/10003971039

Prospect theory and hedging risks

Broll, Udo; Egozcue, Martín; Wong, Wing Keung; … - 2010

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …

Persistent link: https://www.econbiz.de/10003980000

The competitive firm under price uncertainty : the role of information and hedging

Broll, Udo (contributor); Eckwert, Bernhardt (contributor) - 2007

We study the impact of transparency in a commodity market on the decision problem of a competitive firm under price uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable signals which are correlated with the random...

Persistent link: https://www.econbiz.de/10003581734

Futures hedging with basis risk and expectation dependence

Broll, Udo; Welzel, Peter; Kit, Pong Wong - In: International review of economics : journal of civil economy 62 (2015) 3, pp. 213-221

Persistent link: https://www.econbiz.de/10011391637

Consumption, inflation risk and dynamic hedging

Schubert, Stefan Franz; Broll, Udo - In: Contemporary economics 9 (2015) 2, pp. 171-179

Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors can enter risk-sharing markets, such as futures markets,...

Persistent link: https://www.econbiz.de/10011306018