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Optimal hedging when preferences are state dependent

✍ Scribed by Eric Briys; Harris Schlesinger

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
689 KB
Volume
13
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

The authors thank Robert Brooks, Christian Gollier, and two anonymous referees for helpful comments on an earlier draft of this article.

'Readers well-versed in economics will recognize this as nothing more than viewing the indirect utility function with prices suppressed. In other words, utility of wealth represents the best achievable utility of consumption at a given wealth level and a given set of prices.

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