Futures market equilibrium under Knightian uncertainty
Article Abstract:
The Knightian uncertainty is incorporated into the commodity futures market framework to study its effect on the equilibrium price and the equilibrium trading volume. The different impacts of risk aversion and Knightian uncertainty are discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
User Contributions:
Comment about this article or add new information about this topic:
Futures hedging under disappointment aversion
Article Abstract:
The correlation between disappointment aversion and futures hedging is examined. The optimal position is full or partial hedge in the presence of basis risk.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
User Contributions:
Comment about this article or add new information about this topic: