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Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas

van Eijkel, Remco; Moraga, Jose Luis - 2010

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 …

Persistent link: https://www.econbiz.de/10010325991

Stochastic Dominance: Convexity and Some Efficiency Tests

Lizyayev, Andrey M. - 2009

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

Persistent link: https://www.econbiz.de/10010325820

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10010325987

Apportioning of risks via stochastic dominance

Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2008

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random … way, we can extend and generalize existing results about risk attitudes. This lottery preference includes behavior … exhibiting higher order risk effects, such as precautionary effects and tempering effects. …

Persistent link: https://www.econbiz.de/10010264492

Putting risk in its proper place

Eeckhoudt, Louis; Schlesinger, Harris - 2005

This paper examines preferences towards particular classes of lottery pairs. We show how concepts such as prudence and temperance can be fully characterized by a preference relation over these lotteries. If preferences are defined in an expected-utility framework with differentiable utility, the...

Persistent link: https://www.econbiz.de/10010271070

Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions

Dudenhausen, Antje - 2002

We consider a standard two-player all-pay auction with private values, where the valuation for the object is private information to each bidder. The crucial feature is that one bidder is favored by the allocation rule in the sense that he need not bid as much as the other bidder to win the...

Persistent link: https://www.econbiz.de/10010263054

A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10010293729

Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?

Bühler, Wolfgang; Korn, Olaf - 1998

Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US …

Persistent link: https://www.econbiz.de/10010297588

Export production under exchange rate uncertainty

Broll, Udo; Gilroy, B. Michael; Lukas, Elmar - 2008

risk aversion aspects of enterprises, it is demonstrated that situations characterized by enhanced exchange rate volatility …

Persistent link: https://www.econbiz.de/10010300614

Closed formula for options with discrete dividends and its derivatives

Veiga, Carlos; Wystup, Uwe - 2008

We present a closed pricing formula for European options under the Black-Scholes model and formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and by expressing the spatial derivatives as expectations under special measures, as in Carr,...

Persistent link: https://www.econbiz.de/10010301703