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Konsumerwartungen, Konjunktur und Risikomärkte

Broll, Udo; Wahl, Jack E. - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 37 (2008) 8, pp. 442-444

Persistent link: https://www.econbiz.de/10003742665

Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebel, Wilfried - 2009

need an approach explaining interdependent actions. Game theory is in a position to offer proper olutions. This paper … price are endogenously determined. -- Game theory ; Nash equilibrium ; option pricing ; real option …

Persistent link: https://www.econbiz.de/10003941168

Spatial Allocation of Capital : The Role of Risk Preferences

Broll, Udo - 2010

This paper considers a model of spatial allocation of investment capital under uncertainty. We demonstrate that the spatial concentration of economic activity depends upon properties of risk preferences deeper than risk aversion. The degree of so-called relative prudence unambiguously decides...

Persistent link: https://www.econbiz.de/10013143546

Export and Benefits of Hedging in Emerging Economies

Broll, Udo - 2010

We study the impact of exchange rate risk upon export production within an emerging economy lacking in currency forward markets. However there exists a financial asset whose price is correlated with the relevant foreign currency. We present conditions under which export production is stimulated...

Persistent link: https://www.econbiz.de/10013147872

Liquidity Constrained Exporters : Trade and Futures Hedging

Broll, Udo - 2010

We present a model of risk averse exporting firm subject to liquidity constraints. The firm enters an unbiased futures market to hedge exchange rate risk and may not be able to satisfy high margin calls. Then the firm is forced to prematurely liquidate the futures position. We show that...

Persistent link: https://www.econbiz.de/10013148016

Spatial allocation of capital : the role of risk preferences

Broll, Udo; Roldán-Ponce, Antoni; Wahl, Jack E. - 2010

Persistent link: https://www.econbiz.de/10003971025

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

Cross-hedging of correlated exchange rates

Broll, Udo; Kit, Pong Wong - 2011

This paper examines the behavior of a competitive exporting firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. The firm has to cross-hedge its exchange rate risk exposure because there is only a forward market between the domestic currency and one...

Persistent link: https://www.econbiz.de/10009310879

Constant relative risk aversion and form equivalence classes

Battermann, Harald L.; Broll, Udo; Wahl, Jack E. - 1997

We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We apply a general view of constant relative risk aversion to investigate on different equivalence relations. Then we compare our results with standard applications in economics and finance.

Persistent link: https://www.econbiz.de/10009675762