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Risk aversion and under-hedging

✍ Scribed by Tal Shavit; Uri Benzion; Ernan Haruvy

Book ID
116636151
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
627 KB
Volume
59
Category
Article
ISSN
0148-6195

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## Abstract This article considers optimal futures hedging decisions when the hedger is disappointment‐averse (Gul, 1991). When the futures contract is a perfect hedge instrument, a disappointment‐averse hedger always holds a position closer to the full hedge than a nondisappointment‐averse hedger.