Production Flexibility and Hedging
AbstractWe 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. View Full-Text
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Dionne, G.; Santugini, M. Production Flexibility and Hedging. Risks 2015, 3, 543-552.
Dionne G, Santugini M. Production Flexibility and Hedging. Risks. 2015; 3(4):543-552.Chicago/Turabian Style
Dionne, Georges; Santugini, Marc. 2015. "Production Flexibility and Hedging." Risks 3, no. 4: 543-552.