File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Production and hedging under state-dependent preferences

TitleProduction and hedging under state-dependent preferences
Authors
Issue Date2012
PublisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/
Citation
Journal Of Futures Markets, 2012, v. 32 n. 10, p. 945-963 How to Cite?
AbstractThis study examines the behavior of the competitive firm under output price uncertainty and state-dependent preferences. When there is a futures market for hedging purposes, the firm's optimal production decision is independent of the output price uncertainty and of the state-dependent preferences. If the futures contracts are unbiased, the firm's optimal futures position is an over-hedge or an under-hedge, depending on whether the firm is correlation averse or correlation loving, and on whether the output price is positively or negatively expectation dependent on the state variable. When the firm has access not only to the unbiased futures but also to fairly priced options, sufficient conditions are derived under which the firm's optimal hedge position includes both hedging instruments. This study thus establishes a hedging role of options, which is over and above that of futures, in the case of state-dependent preferences. © 2011 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/164720
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 0.520
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWong, KPen_HK
dc.date.accessioned2012-09-20T08:08:43Z-
dc.date.available2012-09-20T08:08:43Z-
dc.date.issued2012en_HK
dc.identifier.citationJournal Of Futures Markets, 2012, v. 32 n. 10, p. 945-963en_HK
dc.identifier.issn0270-7314en_HK
dc.identifier.urihttp://hdl.handle.net/10722/164720-
dc.description.abstractThis study examines the behavior of the competitive firm under output price uncertainty and state-dependent preferences. When there is a futures market for hedging purposes, the firm's optimal production decision is independent of the output price uncertainty and of the state-dependent preferences. If the futures contracts are unbiased, the firm's optimal futures position is an over-hedge or an under-hedge, depending on whether the firm is correlation averse or correlation loving, and on whether the output price is positively or negatively expectation dependent on the state variable. When the firm has access not only to the unbiased futures but also to fairly priced options, sufficient conditions are derived under which the firm's optimal hedge position includes both hedging instruments. This study thus establishes a hedging role of options, which is over and above that of futures, in the case of state-dependent preferences. © 2011 Wiley Periodicals, Inc.en_HK
dc.languageengen_US
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_HK
dc.relation.ispartofJournal of Futures Marketsen_HK
dc.titleProduction and hedging under state-dependent preferencesen_HK
dc.typeArticleen_HK
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityWong, KP=rp01112en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/fut.20547en_HK
dc.identifier.scopuseid_2-s2.0-84864757256en_HK
dc.identifier.hkuros207094en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84864757256&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume32en_HK
dc.identifier.issue10en_HK
dc.identifier.spage945en_HK
dc.identifier.epage963en_HK
dc.identifier.isiWOS:000307012500002-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridWong, KP=7404759417en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats