Firm's hedging behavior without the expected utility hypothesis

DOI10.1016/0165-1765(86)90054-6zbMATH Open1328.91159OpenAlexW1978730712WikidataQ57927155 ScholiaQ57927155MaRDI QIDQ899819FDOQ899819

Authors: Zvi Safra, Itzhak Zilcha 

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90054-6

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• Hedging and the competitive firm under correlated price and background risk
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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16) Production theory, theory of the firm (91B38)

Cites Work

• "Expected Utility" Analysis without the Independence Axiom
• Information, futures prices, and stabilizing speculation
• Risk Aversion for State-Dependent Utility Functions: Measurement and Applications
• A correspondence theorem between expected utility and smooth utility

Cited In (8)

• Expectation dependence: the banking firm under risk
• Hedging and the competitive firm under ambiguous price and background risk
• Price and hedging policy: The case of an intertemporarily risk averse bank
• Hedging and the regret theory of the firm
• From hedging to speculation -- an explanation based on prospect theory
• Title not available (Why is that?)
• Hedging and the competitive firm under correlated price and background risk
• Production and hedging in futures markets with multiple delivery specifications

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