Production and hedging decisions in the presence of basis risk
β Scribed by Jacob Paroush; Avner Wolf
- Publisher
- John Wiley and Sons
- Year
- 1989
- Tongue
- English
- Weight
- 870 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In a doubly stochastic jumpβdiffusion economy with stochastic jump arrival intensity and proportional transaction costs, we develop a fiveβfactor riskβreturn asset pricing inequality to model optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis,
he single period model, because of its simplicity and often plausible representa-T tion, is used to describe a wide range of economic and financial decision making. Those who advocate such an approach recognize that the world is truly multiperiod and approximately infinite, but find that a single pe
## Abstract Assume that the spot price has a skewβnormal distribution. This study investigates the effect of skewness on optimal production and hedging decisions. It is shown that skewness has no effect on the optimal production level but induces the firm to become more active in futures trading. Β©
We consider an economy where firms operate in an imperfectly competitive industry and mutually affect each others' investment opportunities. Each firm is assumed to face a mutually exclusive choice of investing in either a short-or a long-term project. For example, firm i's commitment to a short-ter
his article examines the problem of hedging in futures markets when hedgers T and speculators possess different degrees of information about prices. Hedgers who (apriori) are less well informed than speculators have to cope with two levels of risk: a first level, which corresponds to the presence of