Download This PaperA Short Note on Sovereign Commodity Risk Management
6 Pages Posted: 19 Jan 2015
Date Written: January 18, 2015
Abstract
I investigate sovereign risk management using expected utility theory. A proposition is derived under which conditions which degree of hedging is optimal. An application to the case of Russia shows that a risk-acceptant attitude can serve as an explanation of the decisions to bail out Rosneft and to leave some oil exposure unhedged.
Keywords: Sovereign risk management, rationalist explanations, expected utility maximization, commodity risk management, hedging
JEL Classification: C00, D07, F05, H03, H07, N04
Suggested Citation: Suggested Citation
Lehrbass, Frank and Lehrbass, Frank, A Short Note on Sovereign Commodity Risk Management (January 18, 2015). USAEE Working Paper No. 14-198, Available at SSRN: https://ssrn.com/abstract=2551480 or http://dx.doi.org/10.2139/ssrn.2551480
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