Schubert, Stefan Franz; Broll, Udo - In: Contemporary economics 9 (2015) 2, pp. 171-179
Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price … and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors … can enter risk-sharing markets, such as futures markets, to manage these risks. We develop a dynamic risk management model …
