Production and hedging under correlated price and background risks

DOI10.1007/S10203-021-00362-7zbMATH Open1492.91417OpenAlexW3209194616MaRDI QIDQ2145698FDOQ2145698

Authors Kit Pong Wong

Publication date 17 June 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-021-00362-7

zbMATH Keywords

background riskproductionforward hedging

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Comparative risk aversion with two risks
• Expectation dependence of random variables, with an application in portfolio theory
• Financial risk taking in the presence of correlated non-financial background risk
• Hedging and the competitive firm under correlated price and background risk
• Information, futures prices, and stabilizing speculation
• On the intensity of downside risk aversion
• Risk apportionment via bivariate stochastic dominance
• Some Concepts of Dependence
• Standard Risk Aversion
• The demand for a risky asset in the presence of a background risk

Cited in

(10)

• Hedging and the competitive firm under ambiguous price and background risk
• Production and hedging decisions in futures and forward markets
• Separability of stochastic production decisions from producer risk preferences in the presence of financial markets
• Hedging and the regret theory of the firm
• Hedging and the competitive firm under price, output and quality uncertainties
• Production under uncertainty with insurance or hedging
• Production with risk hedging -- optimal policy and efficient frontier
• Production phase and ultimate pit limit design under commodity price uncertainty
• A note on the theory of the firm under multiple uncertainties
• Hedging and the competitive firm under correlated price and background risk

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