This paper considers production and hedging decisions of firms under ambiguous price risk. We display that the separation property and the full hedging theorem hold in the presence of ambiguity. We also determine the condition that ambiguity aversion increases optimal hedging position

We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The condition is that...

We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The condition is that...