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Disappointment aversion equilibrium in a futures market

Article Abstract:

The effect of disappointment aversion on the equilibrium in a commodity futures market is examined. It is revealed that the equilibrium price is positively related to either, agent's risk or disappointment aversion, and to the market volatility.

Forecasts, trends, outlooks, Forecasts and trends, Risk (Economics), Market trend/market analysis, Equilibrium (Economics), Commodity markets

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Futures hedging under mark-to-market risk

Article Abstract:

This articles presents market-to-market risk within a common future hedging framework and shows that a futures hedger who is concerned with maximal daily loss will significantly reduced his position when risk are taken into account.

Science & research, Asset & Risk Management, Labor Distribution by Employer, Statistics, Risk management, Hedging (Finance)

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A Note on Loss Aversion and Futures Hedging

Article Abstract:

This study examines the effect of loss aversion on the futures trading of a short hedger.

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