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Conference Paper: Risk management for a risk-averse firm with contingent payment

TitleRisk management for a risk-averse firm with contingent payment
Authors
KeywordsCommodity
Financial hedging
Risk aversion
Volatile raw material price
Issue Date2014
PublisherNewswood Ltd..
Citation
The 2014 World Congress on Engineering and Computer Science (WCECS 2014), San Francisco, CA., 22-24 October 2014. In Proceedings of the World Congress on Engineering and Computer Science, 2014, v. 2, p. 1070-1074 How to Cite?
AbstractThis paper studies the contingent sales price risk mitigation problem of a risk-averse firm which procures some kind of commodity from the spot market as raw material for making certain product. The payment received by this firm depends on the underlying commodity spot price which is unknown until the product is physically delivered. In order to reduce the volatility stemming from the contingent payment, a financial hedging strategy requiring commodity futures contracts is proposed. This approach allows the firm to rebalance the commodity futures position dynamically. This study shows that the optimal strategy can be obtained when the firm adopts the exponential or mean-variance utility.
DescriptionSeries title: Lecture Notes in Engineering and Computer Science
Persistent Identifierhttp://hdl.handle.net/10722/206646
ISBN
ISSN

 

DC FieldValueLanguage
dc.contributor.authorLi, Q-
dc.contributor.authorChu, LK-
dc.date.accessioned2014-11-24T01:27:25Z-
dc.date.available2014-11-24T01:27:25Z-
dc.date.issued2014-
dc.identifier.citationThe 2014 World Congress on Engineering and Computer Science (WCECS 2014), San Francisco, CA., 22-24 October 2014. In Proceedings of the World Congress on Engineering and Computer Science, 2014, v. 2, p. 1070-1074-
dc.identifier.isbn978-988-19253-7-4-
dc.identifier.issn2078-0958-
dc.identifier.urihttp://hdl.handle.net/10722/206646-
dc.descriptionSeries title: Lecture Notes in Engineering and Computer Science-
dc.description.abstractThis paper studies the contingent sales price risk mitigation problem of a risk-averse firm which procures some kind of commodity from the spot market as raw material for making certain product. The payment received by this firm depends on the underlying commodity spot price which is unknown until the product is physically delivered. In order to reduce the volatility stemming from the contingent payment, a financial hedging strategy requiring commodity futures contracts is proposed. This approach allows the firm to rebalance the commodity futures position dynamically. This study shows that the optimal strategy can be obtained when the firm adopts the exponential or mean-variance utility.-
dc.languageeng-
dc.publisherNewswood Ltd..-
dc.relation.ispartofProceedings of the World Congress on Engineering and Computer Science (WCECS 2014)-
dc.subjectCommodity-
dc.subjectFinancial hedging-
dc.subjectRisk aversion-
dc.subjectVolatile raw material price-
dc.titleRisk management for a risk-averse firm with contingent paymenten_US
dc.typeConference_Paperen_US
dc.identifier.emailChu, LK: lkchu@hkucc.hku.hk-
dc.identifier.hkuros241547-
dc.identifier.volume2-
dc.identifier.spage1070-
dc.identifier.epage1074-
dc.publisher.placeHong Kong-
dc.customcontrol.immutablesml 141124-

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