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On bivariate risk aversion

โœ Scribed by Christophe Courbage


Publisher
Springer US
Year
2002
Tongue
English
Weight
101 KB
Volume
30
Category
Article
ISSN
0197-4254

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## Abstract This article examines the effect of disappointment aversion on futures hedging. We incorporated a constantโ€absoluteโ€riskโ€aversion (CARA) utility function into the disappointmentโ€aversion framework of Gul (1991). It is shown that a more disappointmentโ€averse hedger will choose an optimal