This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances … domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible … hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their … and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …

The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 …

accommodates forecasts over multiple horizons from multiple surveys and Treasury yields by allowing for differences between risk …

risk aversion, we find that consumer behaviour changes strikingly over the life-cycle. Young consumers behave as buffer …

This paper develops a theory of regular Markov perfect equilibria in dynamic stochastic games. We show that almost all …