Firm's hedging behavior without the expected utility hypothesis

DOI10.1016/0165-1765(86)90054-6MaRDI QIDQ899819zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

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
• scientific article; zbMATH DE number 1786006 (Why is no real title available?)
• 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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