- Autor
- Schubert Stefan Franz (Free University Bozen - Economics, Italy), Broll Udo (Technische Universität Dresden - Economics, Germany)
- Tytuł
- Consumption, Inflation Risk and Dynamic Hedging
- Źródło
- Contemporary Economics, 2015, vol. 9, nr 2, s. 171-180, bibliogr. 17 poz.
- Słowa kluczowe
- Inflacja, Zarządzanie ryzykiem, Hedging, Ryzyko cenowe, Konsumpcja
Inflation, Risk management, Hedging, Price risk, Consumption - Uwagi
- summ.
- Abstrakt
- 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.(original abstract)
- Pełny tekst
- Pokaż
- Bibliografia
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- Cytowane przez
- ISSN
- 2084-0845
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.5709/ce.1897-9254.165
