Data/hora: 16/06/2024 06:52:19

Provedor de dados: | 31
País: | United States
Título: | Methods for selecting the optimal dynamic hedge when production is stochastic
Autores: | Karp,   Larry S.
Data: | 2008-05-08
Ano: | 1986
Palavras-chave: | Marketing; Research Methods/ Statistical Methods.
Resumo: | A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This analysis enables the hedger to select his appropriate level of risk aversion.
Tipo: | Working or Discussion Paper
Idioma: | Inglês

Identificador:

29677

http://purl.umn.edu/6092

Relação:

University of California, Berkeley&gt;Department of Agricultural and Resource Economics&gt;CUDARE Working Papers

CUDARE Working Paper

405

Formato: | 33