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dc.contributor.authorBroll, Udoen_US
dc.contributor.authorEgozcue, Martínen_US
dc.contributor.authorWong, Wing-Keungen_US
dc.contributor.authorZitikis, Ričardasen_US
dc.date.accessioned2010-07-02en_US
dc.date.accessioned2010-09-09T09:45:25Z-
dc.date.available2010-09-09T09:45:25Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39795-
dc.description.abstractThe prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved. For example, the nature of monotonicity of the indifference curve depends on the underlying mean. Price hedging decisions also become more complex within the prospect theory. We discuss these topics in detail and offer a general result concerning the sign of a covariance from which we then infer desired properties of the indifference curve and also justify hedging decisions within the prospect theory. We illustrate our general considerations with a thoroughly worked out example.en_US
dc.language.isoengen_US
dc.publisherUniv. of Technology, Fac. of Business Management and Economics Dresdenen_US
dc.relation.ispartofseriesDresden discussion paper series in economics 05/10en_US
dc.subject.jelD01en_US
dc.subject.jelD03en_US
dc.subject.jelD21en_US
dc.subject.jelD81en_US
dc.subject.ddc330en_US
dc.subject.keywordprospect theoryen_US
dc.subject.keywordmean-variance modelen_US
dc.subject.keywordindifference curveen_US
dc.subject.keywordprice uncertaintyen_US
dc.subject.keywordhedgingen_US
dc.subject.stwTheorie der Unternehmungen_US
dc.subject.stwProduktionen_US
dc.subject.stwEntscheidung bei Unsicherheiten_US
dc.subject.stwHedgingen_US
dc.subject.stwProspect Theoryen_US
dc.subject.stwPreisen_US
dc.subject.stwRisikoen_US
dc.subject.stwTheorieen_US
dc.titleProspect theory and hedging risksen_US
dc.typeWorking Paperen_US
dc.identifier.ppn63051397Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:tuddps:0510-
Appears in Collections:Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden

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