Risk aversion and price limits in futures markets
โ Scribed by Pin-Huang Chou; Mei-Chen Lin; Min-Teh Yu
- Book ID
- 116494730
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 138 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1544-6123
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Another major economic function of the futures market is a price discovery role. Futures price for a commodity represents all the information about the future cash price. So, economic agents make plans and decisions by looking at the futures price. Jisoo Yo0 is an Assistant professor o f Economics
## Abstract This article examines the effect of disappointment aversion on futures hedging. We incorporated a constantโabsoluteโriskโaversion (CARA) utility function into the disappointmentโaversion framework of Gul (1991). It is shown that a more disappointmentโaverse hedger will choose an optimal
## Abstract We extend the work of Brennan (1986) to investigate whether the imposition of spot price limits can further reduce the default risk and lower the effective margin requirement for a futures contract that is already under price limits. Our results show that spot price limits do indeed fur