Results 251 to 260 of about 315,515 (301)
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
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Journal of Futures Markets, EarlyView.ABSTRACT This paper uses GARCH‐MIDAS to predict US natural gas futures volatility using national and state‐level Climate Concern Indexes (CCIs). We find that both national and state‐level CCIs positively affect price volatility. Notably, models using state‐level data—specifically those utilizing least‐squares (LS) weighting combinations—surpass the ...
Afees A. Salisu +3 more
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Journal of Economic Theory, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Caballé, Jordi, Pomansky, Alexey
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Econometrica, 1993 Summary: This paper introduces the concept of standard risk aversion. A von Neumann-Morgenstern utility function has standard risk aversion if every risk that has a negative interaction with a small reduction in wealth also has a negative interaction with any undesirable, independent risk.
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Econometrica, 1987
This paper introduces the concept of proper risk aversion to expected utility theory. A decision-maker displays proper risk aversion if, given two independent undesirable monetary lotteries and being required to take one of them he continues to find the other undesirable. This condition implies decreasing risk-aversion.
Pratt, John W, Zeckhauser, Richard J
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This paper introduces the concept of proper risk aversion to expected utility theory. A decision-maker displays proper risk aversion if, given two independent undesirable monetary lotteries and being required to take one of them he continues to find the other undesirable. This condition implies decreasing risk-aversion.
Pratt, John W, Zeckhauser, Richard J
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Economic Theory, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Journal of Finance, 1983
ABSTRACTIn order to supply additional empirical evidence of the effect of wealth on relative risk aversion, this study investigates households' demand for risky assets, using analysis of covariance techniques applied to the asset holdings of Canadian individual households. The extent and pattern of life‐cycle effects are also examined.
Morin, Roger A +1 more
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ABSTRACTIn order to supply additional empirical evidence of the effect of wealth on relative risk aversion, this study investigates households' demand for risky assets, using analysis of covariance techniques applied to the asset holdings of Canadian individual households. The extent and pattern of life‐cycle effects are also examined.
Morin, Roger A +1 more
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Management Science, 1982
An individual's preference for risky alternatives is influenced by the strength of preference he feels for the consequences and his attitude toward risk taking. Conventional measures of risk attitude confound these two factors. In this paper we formally separate these factors and explore how this separation might significantly enhance our ...
James S. Dyer, Rakesh K. Sarin
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An individual's preference for risky alternatives is influenced by the strength of preference he feels for the consequences and his attitude toward risk taking. Conventional measures of risk attitude confound these two factors. In this paper we formally separate these factors and explore how this separation might significantly enhance our ...
James S. Dyer, Rakesh K. Sarin
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Journal of Economic Theory, 1998
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Safra, Zvi, Segal, Uzi
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Safra, Zvi, Segal, Uzi
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