This paper analyzes the optimal production and hedging decisions of a competitive firm holding optimism and pessimism … on the output price distribution nor on the firm's preferences. Furthermore, the validity of the full-hedging theorem … the firm's optimism level above which it is never optimal for the firm to full-hedge even when an unbiased hedging …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional …-Value-at-Risk (CVaR). In particular, we derive first-order conditions characterizing VaR- and CVaR-minimal hedging with futures in regime …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …

We investigate the optimal hedging strategy for a firm using options, where the role of production and basis risk are … portfolio is primarily affected by the amount of cash spent on the hedging. Also, we decompose the effect of production and … basis risk showing that the former affects hedging effectiveness while the latter drives the choice of the optimal contract …

This paper provides a theory of debt and hedging based on human capital. We distinguish human capital from physical … information concerning costs, the only viable solution has the firm issuing debt to outsiders and hedging …

This paper analyzes the production and hedging decisions of a competitive firm under price uncertainty and time …

effectiveness and the cost of the hedging strategy …

We present a model for developing hedging strategies using both futures and forward contracts and issuing risky debt. A … contracts into hedging and increase its value higher than that when hedging with only futures contracts. We show numerically … that hedging with both futures and forward contracts allows the firm to issue minimal risky debt in increasing its firm …

studies how self-esteem concerns influence a manager's effort choice and hedging behavior and how a board designs the … managerial ownership to induce effort. In equilibrium, the manager's net hedging position increases with the strength of the … manager's self-esteem concerns. Each of managerial hedging and self-esteem concerns added to an otherwise standard agency …