Methods for selecting the optimal dynamic hedge when production is stochastic

Larry Karp

No 6092, CUDARE Working Papers from University of California, Berkeley, Department of Agricultural and Resource Economics

Abstract: A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This analysis enables the hedger to select his appropriate level of risk aversion.

Keywords: Marketing; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 33
Date: 1986
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https://ageconsearch.umn.edu/record/6092/files/wp860405.pdf (application/pdf)

Related works:
Journal Article: Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic (1987)
Working Paper: Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ucbecw:6092

DOI: 10.22004/ag.econ.6092

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