Artikel
Consumption, inflation risk and dynamic hedging
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Contemporary Economics ; ISSN: 2084-0845 ; Volume: 9 ; Year: 2015 ; Issue: 2 ; Pages: 171-179 ; Warsaw: Vizja Press & IT
- Klassifikation
-
Wirtschaft
Firm Behavior: Theory
Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
- Thema
-
Dynamic hedging
asset price risk
inflation risk
real wealth
consumption
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schubert, Stefan Franz
Broll, Udo
- Ereignis
-
Veröffentlichung
- (wer)
-
Vizja Press & IT
- (wo)
-
Warsaw
- (wann)
-
2015
- DOI
-
doi:10.5709/ce.1897-9254.165
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Artikel
Beteiligte
- Schubert, Stefan Franz
- Broll, Udo
- Vizja Press & IT
Entstanden
- 2015
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