Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167868
Authors: 
Dionne, Georges
Santugini, Marc
Year of Publication: 
2015
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 3 [Year:] 2015 [Issue:] 4 [Pages:] 543-552
Abstract: 
We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk-averse firm always maintains a short position in the futures market when the futures price is actuarially fair. Moreover, in the context of an example, we show that the presence of production flexibility reduces the incentive to hedge for all risk averse agents.
Subjects: 
hedging
full-hedging result
production flexibility
price and output uncertainty
JEL: 
G1
L2
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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