Préférences par rapport au risque et marchés à terme: le cas d'une quantité incertaine

Benoît Sévi

Recherches économiques de Louvain, 2007, vol. 73, issue 2, 217-228

Abstract: This paper studies the optimal hedging policy of a risk-averse firm facing both price and quantity uncertainties. In an expected utility framework, prudence in the Kimball?s (1990) sense is shown to play a major role in the characterization of the optimal hedging policy. More surprising is the possibility of conflicting effects between risk aversion and prudence, when the firm wishes to speculate. JEL Classification: D81, G10.

Keywords: quantity risk; multiplicative risk; forward trading; risk aversion; prudence (search for similar items in EconPapers)
JEL-codes: D81 G10 (search for similar items in EconPapers)
Date: 2007
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Working Paper: Préférences par rapport au risque et marchés à terme: le cas d’une quantité incertaine (2007)
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