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Article: Imperfect forward markets and hedging

TitleImperfect forward markets and hedging
Authors
Issue Date2002
PublisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ECNO
Citation
Economic Notes, 2002, v. 31 n. 1, p. 143-154 How to Cite?
AbstractThis paper considers a hedging model of a risk-averse competitive firm facing output price uncertainty. Imperfections exist in forward transactions in that the firm faces a downward-sloping demand function for its forward sales. We show that the optimal output and hedge ratio of the firm are, in general, not separable, and are related in a deterministic manner. We also derive some economic implications of production and hedging decisions when firms differ in their attitudes towards risk. A more risk-averse firm is shown to produce less and hedge more than a less risk-averse firm.
Persistent Identifierhttp://hdl.handle.net/10722/85549
ISSN
2015 SCImago Journal Rankings: 0.180
References

 

DC FieldValueLanguage
dc.contributor.authorBroll, Uen_HK
dc.contributor.authorWong, KPen_HK
dc.date.accessioned2010-09-06T09:06:27Z-
dc.date.available2010-09-06T09:06:27Z-
dc.date.issued2002en_HK
dc.identifier.citationEconomic Notes, 2002, v. 31 n. 1, p. 143-154en_HK
dc.identifier.issn0391-5026en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85549-
dc.description.abstractThis paper considers a hedging model of a risk-averse competitive firm facing output price uncertainty. Imperfections exist in forward transactions in that the firm faces a downward-sloping demand function for its forward sales. We show that the optimal output and hedge ratio of the firm are, in general, not separable, and are related in a deterministic manner. We also derive some economic implications of production and hedging decisions when firms differ in their attitudes towards risk. A more risk-averse firm is shown to produce less and hedge more than a less risk-averse firm.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ECNOen_HK
dc.relation.ispartofEconomic Notesen_HK
dc.rightsEconomic Notes. Copyright © Blackwell Publishing Ltd.en_HK
dc.titleImperfect forward markets and hedgingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0391-5026&volume=31&spage=143&epage=154&date=2002&atitle=Imperfect+Forward+Markets+and+Hedgingen_HK
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityWong, KP=rp01112en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/1468-0300.00076-
dc.identifier.scopuseid_2-s2.0-0036107387en_HK
dc.identifier.hkuros71436en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0036107387&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume31en_HK
dc.identifier.issue1en_HK
dc.identifier.spage143en_HK
dc.identifier.epage154en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridBroll, U=7004024398en_HK
dc.identifier.scopusauthoridWong, KP=7404759417en_HK

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