WEIGHTED EXPECTED UTILITY HEDGE RATIOS

Darren L. Frechette and Jonathan W. Tuthill

No 18931, 2000 Conference, April 17-18 2000, Chicago, Illinois from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: We derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum variance hedge ratios and larger than expected utility hedge ratios.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 15
Date: 2000
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncrtci:18931

DOI: 10.22004/ag.econ.18931

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