Methods for selecting the optimal dynamic hedge when production is stochastic

A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This analysis enables the hedger to select his appropriate level of risk aversion.


Issue Date:
1986
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/6092
Total Pages:
33
Series Statement:
CUDARE Working Paper
405




 Record created 2017-04-01, last modified 2017-08-23

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