𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Production and hedging under state-dependent preferences

✍ Scribed by Kit Pong Wong

Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
137 KB
Volume
32
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study examines the behavior of the competitive firm under output price uncertainty and state‐dependent preferences. When there is a futures market for hedging purposes, the firm's optimal production decision is independent of the output price uncertainty and of the state‐dependent preferences. If the futures contracts are unbiased, the firm's optimal futures position is an over‐hedge or an under‐hedge, depending on whether the firm is correlation averse or correlation loving, and on whether the output price is positively or negatively expectation dependent on the state variable. When the firm has access not only to the unbiased futures but also to fairly priced options, sufficient conditions are derived under which the firm's optimal hedge position includes both hedging instruments. This study thus establishes a hedging role of options, which is over and above that of futures, in the case of state‐dependent preferences. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:945–963, 2012

📜 SIMILAR VOLUMES

Optimal hedging when preferences are sta
Optimal hedging when preferences are state dependent
✍ Eric Briys; Harris Schlesinger 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 689 KB

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 o

Production and hedging under Knightian u
Production and hedging under Knightian uncertainty
✍ Lien, Donald 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 156 KB

This article introduces Knightian uncertainty into the production and futures hedging framework. The firm has imprecise information about the probability density function of spot or futures prices in the future. Decision-making under such scenario follows the "max-min" principle. It is shown that in

L-methioninase production by Aspergillus
L-methioninase production by Aspergillus flavipes under solid-state fermentation
✍ Ashraf S. A. El-Sayed 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 263 KB

## Abstract Solid‐state fermentation was carried out for the production of extra‐cellular L‐methioninase by __Aspergillus flavipes__ (Bain and Sart.) using nine agro‐industrial residues, namely wheat bran, rice bran, wheat flour, coconut seeds, cotton seeds, ground nut cake, lentil hulls, soya bean