Optimal Hedge for Value-Maximizing Firms and Risk-Averse Agents, A General Model
13 Pages Posted: 9 Feb 2015
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: 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
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