WEIGHTED EXPECTED UTILITY HEDGE RATIOS

We derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum variance hedge ratios and larger than expected utility hedge ratios.

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Year of publication:	2000
Authors:	Frechette, Darren L. ; Tuthill, Jonathan W.
Institutions:	NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Subject:	Hedging \| hedge ratio \| weighted expected utility \| Allais Paradox \| Marketing

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Extent:	application/pdf
Series:	2000 Conference, April 17-18 2000, Chicago, Illinois.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2000 Conference, Chicago, IL, April 17-18 2000 Number 18931
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005503804