Narrow search
Showing 1 - 10 of 238
Cover Image
Optimal hedge ratio and elasticity of risk aversion
Broll, Udo; Wahl, Jack E. - In: Economics Bulletin 6 (2004) 5, pp. 1-7
We apply the mean-standard deviation paradigm to examine a widely used model of the hedging literature. As the hedging … revision of the firm's optimum risk taking when price volatility changes. By introducing risk aversion elasticity we describe …
Persistent link: https://www.econbiz.de/10010835749
Cover Image
Optimal hedge ratio and elasticity of risk aversion
Broll, Udo; Wahl, Jack E. - In: Economics Bulletin 6 (2004) 5, pp. 1-7
We apply the mean-standard deviation paradigm to examine a widely used model of the hedging literature. As the hedging … revision of the firm's optimum risk taking when price volatility changes. By introducing risk aversion elasticity we describe …
Persistent link: https://www.econbiz.de/10005110677
Cover Image
Spot exchange rate volatility, uncertain policies and export investment decision of firms : a mean-variance decision approach
Mukherjee, Subhadip; Mukherjee, Soumyatanu; Mishra, Tapas; … - In: The European journal of finance 27 (2021) 8, pp. 752-773
Persistent link: https://www.econbiz.de/10012516131
Cover Image
Exchange rate volatility and exports : estimation of firms risk preferences
Broll, Udo; Mukherjee, Soumyatanu; Sensarma, Rudra - 2017
In this companion paper to Broll and Mukherjee (2017), we empirically analyse how exchange rate volatilities affect firms optimal production and exporting decisions. The firms elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible...
Persistent link: https://www.econbiz.de/10011638802
Cover Image
Banking firm and hedging over the business cycle
Broll, Udo; Kit, Pong Wong - In: Portuguese economic journal 9 (2010) 1, pp. 29-33
Persistent link: https://www.econbiz.de/10003952132
Cover Image
Risikomanagement von Fremdwährungsrisiken
Broll, Udo - In: Aussenwirtschaft : schweizerische Zeitschrift für … 50 (1995) 4, pp. 593-602
Persistent link: https://www.econbiz.de/10001192975
Cover Image
Consumption, Inflation Risk and Dynamic Hedging
Schubert, Stefan Franz - 2015
. Optimal consumption and risk management strategies are derived. It is shown that dynamic hedging increases an investor …
Persistent link: https://www.econbiz.de/10013016077
Cover Image
Market risk : exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility … lower own funds requirements for credit institutions. However, in the exponential weighting a high volatility in the past is …
Persistent link: https://www.econbiz.de/10012285469
Cover Image
Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
Cover Image
Real exchange-rate uncertainty and US foreign direct investment : an empirical analysis
Schmidt, Christian W.; Broll, Udo - In: Review of world economics 145 (2009) 3, pp. 513-530
Persistent link: https://www.econbiz.de/10003909071