𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Production and hedging decisions in the presence of basis risk

✍ 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.


πŸ“œ SIMILAR VOLUMES


Optimum futures hedge in the presence of
✍ Carolyn W. Chang; Jack S. K. Chang πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 193 KB πŸ‘ 2 views

## Abstract In a doubly stochastic jump‐diffusion economy with stochastic jump arrival intensity and proportional transaction costs, we develop a five‐factor risk‐return asset pricing inequality to model optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis,

Multiperiod hedging using futures: A ris
✍ Charles T. Howard; Louis J. D'Antonio πŸ“‚ Article πŸ“… 1991 πŸ› John Wiley and Sons 🌐 English βš– 812 KB

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

The effects of skewness on optimal produ
✍ Donald Lien πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 100 KB πŸ‘ 2 views

## Abstract Assume that the spot price has a skew‐normal 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©

Investment decisions and managerial comp
✍ Gregory E. Goering; T. Harikumar πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 108 KB πŸ‘ 1 views

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

Optimal Futures Hedging in the Presence
✍ Nabil T. Khoury; Jean-Marc Martel πŸ“‚ Article πŸ“… 1985 πŸ› John Wiley and Sons 🌐 English βš– 542 KB

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