Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/36497 
Year of Publication: 
2009
Series/Report no.: 
Dresden Discussion Paper Series in Economics No. 01/09
Publisher: 
Technische Universität Dresden, Fakultät Wirtschaftswissenschaften, Dresden
Abstract: 
Within the prospect theory the paper examines production and hedging decisions of a competitive firm under price uncertainty. We consider the prospect theory for the firm's utility function in the two moment model known as (mu,sigma)-preference. In contrast to the literature our findings show that the production under uncertainty can be larger than in the certainty case. Furthermore, we demonstrate that although the futures markets are unbiased the firm is overhedging.
Subjects: 
Prospect theory, mean-variance model, price uncertainty
JEL: 
D21
D41
D81
Document Type: 
Working Paper

Files in This Item:
File
Size
234.38 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.