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Article: Optimal full-hedging under state-dependent preferences

TitleOptimal full-hedging under state-dependent preferences
Authors
KeywordsFull-hedging
Futures
State-dependent preferences
Issue Date2002
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/qref
Citation
Quarterly Review Of Economics And Finance, 2002, v. 42 n. 5, p. 937-943 How to Cite?
AbstractThis paper examines the hedging behavior of a risk-averse individual who faces uncertainty in spot-market prices and has a state-dependent utility function. The model demonstrates how risk aversion, state-dependency of preferences, and dependence structure of spot-market prices and states of nature jointly determine the individual's optimal hedge position. We stipulate two sets of necessary and sufficient conditions, one on the utility function and the other on the dependence structure of spot-market prices and states of nature, which yield the celebrated full-hedging theorem originally derived under state-independent preferences. © 2002 Board of Trustees of the University of Illinois. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/85544
ISSN
1997 Impact Factor: 0.104
2015 SCImago Journal Rankings: 0.451
References

 

DC FieldValueLanguage
dc.contributor.authorBroll, Uen_HK
dc.contributor.authorWong, KPen_HK
dc.date.accessioned2010-09-06T09:06:24Z-
dc.date.available2010-09-06T09:06:24Z-
dc.date.issued2002en_HK
dc.identifier.citationQuarterly Review Of Economics And Finance, 2002, v. 42 n. 5, p. 937-943en_HK
dc.identifier.issn1062-9769en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85544-
dc.description.abstractThis paper examines the hedging behavior of a risk-averse individual who faces uncertainty in spot-market prices and has a state-dependent utility function. The model demonstrates how risk aversion, state-dependency of preferences, and dependence structure of spot-market prices and states of nature jointly determine the individual's optimal hedge position. We stipulate two sets of necessary and sufficient conditions, one on the utility function and the other on the dependence structure of spot-market prices and states of nature, which yield the celebrated full-hedging theorem originally derived under state-independent preferences. © 2002 Board of Trustees of the University of Illinois. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/qrefen_HK
dc.relation.ispartofQuarterly Review of Economics and Financeen_HK
dc.rightsThe Quarterly Review of Economics and Finance. Copyright © Elsevier BV.en_HK
dc.subjectFull-hedgingen_HK
dc.subjectFuturesen_HK
dc.subjectState-dependent preferencesen_HK
dc.titleOptimal full-hedging under state-dependent preferencesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1062-9769&volume=42&spage=937&epage=943&date=2002&atitle=Optimal+Full-Hedging+under+State-Dependent+Preferencesen_HK
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityWong, KP=rp01112en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S1062-9769(01)00121-1en_HK
dc.identifier.scopuseid_2-s2.0-0036453038en_HK
dc.identifier.hkuros81822en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0036453038&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume42en_HK
dc.identifier.issue5en_HK
dc.identifier.spage937en_HK
dc.identifier.epage943en_HK
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridBroll, U=7004024398en_HK
dc.identifier.scopusauthoridWong, KP=7404759417en_HK

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