Disappointment aversion equilibrium in a futures market
Article Abstract:
The effect of disappointment aversion on the equilibrium in a commodity futures market is examined. It is revealed that the equilibrium price is positively related to either, agent's risk or disappointment aversion, and to the market volatility.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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Futures hedging under mark-to-market risk
Article Abstract:
This articles presents market-to-market risk within a common future hedging framework and shows that a futures hedger who is concerned with maximal daily loss will significantly reduced his position when risk are taken into account.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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A Note on Loss Aversion and Futures Hedging
Article Abstract:
This study examines the effect of loss aversion on the futures trading of a short hedger.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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