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Production and hedging under correlated price and background risks
This paper examines the competitive firm that has to make its production and hedging decisions under correlated price and background risks. The background risk can be either financial or non-financial, which is accommodated by using a bivariate utility function. The separation theorem is shown to ho...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8552622/ http://dx.doi.org/10.1007/s10203-021-00362-7 |