Futures market equilibrium under Knightian uncertainty
Article Abstract:
The Knightian uncertainty is incorporated into the commodity futures market framework to study its effect on the equilibrium price and the equilibrium trading volume. The different impacts of risk aversion and Knightian uncertainty are discussed.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
Forecasts, trends, outlooks, Models, Forecasts and trends, Market trend/market analysis, Securities trading
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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Futures hedging under disappointment aversion
Article Abstract:
The correlation between disappointment aversion and futures hedging is examined. The optimal position is full or partial hedge in the presence of basis risk.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
Securities & Commodities Exchanges, Securities and Commodity Exchanges, Security and commodity exchanges, Statistical Data Included, Management, Hedging (Finance)
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Subjects list: United States, Analysis, Futures market, Futures markets
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