Optimal Hedge for Value-Maximizing Firms and Risk-Averse Agents, A General Model

13 Pages Posted: 9 Feb 2015

See all articles by Yiyong Yuan

Yiyong Yuan

affiliation not provided to SSRN

Date Written: February 7, 2015

Abstract

A stochastic solution is proposed for a general problem of demand for risks with both value-maximizing firms and risk averse agents. Explicit solutions are possible for both models when the interesting risk is perceived to be fairly-priced by the two decision makers.

Keywords: Demand for risk, Hedging, Stochastic solution, Value-maximizing, Risk-averse

JEL Classification: G10, G11, G12, D80, D81

Suggested Citation

Yuan, Yiyong, Optimal Hedge for Value-Maximizing Firms and Risk-Averse Agents, A General Model (February 7, 2015). Available at SSRN: https://ssrn.com/abstract=2561836 or http://dx.doi.org/10.2139/ssrn.2561836

Yiyong Yuan (Contact Author)

affiliation not provided to SSRN ( email )

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