Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/141903 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] Contemporary Economics [ISSN:] 2084-0845 [Volume:] 9 [Issue:] 2 [Publisher:] Vizja Press & IT [Place:] Warsaw [Year:] 2015 [Pages:] 171-179
Verlag: 
Vizja Press & IT, Warsaw
Zusammenfassung: 
Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors can enter risk-sharing markets, such as futures markets, to manage these risks. We develop a dynamic risk management model. Optimal consumption and risk management strategies are derived. It is shown that dynamic hedging increases an investor's welfare in terms of the expected inter-temporal utility of consumption.
Schlagwörter: 
Dynamic hedging
asset price risk
inflation risk
real wealth
consumption
JEL: 
D21
D24
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
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