Frim's Hedging Behavior Without The Expected Utility Hypothesis

Zvi Safra and Itzhak Zilcha

No 275401, Foerder Institute for Economic Research Working Papers from Tel-Aviv University > Foerder Institute for Economic Research

Abstract: In this note we analyze the behavior of a competitive firm under price; uncertainty and in the presence of a futures market. We show that the; 'Separation property', i.e., the independence of the firm's production level; of the stochastic price's distribution, holds even if the firm maximize; non—expected utility functional and is not risk averse.; Secondly, we show that its behavior in the futures market is the same as in; the classical environment, even if one asks for a weaker notion of risk; averseness. Finally, we briefly analyze the state—dependent case.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 11
Date: 1986-02
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Citations: View citations in EconPapers (1)

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Journal Article: Firm's hedging behavior without the expected utility hypothesis (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:isfiwp:275401

DOI: 10.22004/ag.econ.275401

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