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Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine

Published online by Cambridge University Press:  17 August 2016

Benoît Sévi  and
LASER-CREDEN
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Résumé

Cet article examine la décision optimale de couverture d'une firme faisant face à un double risque prix-quantité. Dans un cadre d'espérance d'utilité, nous montrons que la notion de prudence au sens de Kimball (1990) est essentielle dans la caractérisation de la position optimale de la firme sur le marché à terme. Plus surprenant, les notions d'aversion au risque et de prudence, peuvent donner lieu à des effets contraires, notamment lorsque la firme souhaite spéculer.

Summary

Summary

This paper studies the optimal hedging policy of a risk-averse firm facing both price and quantity uncertainties. In an expected utility framework, prudence in the Kimball's (1990) sense is shown to play a major role in the characterization of the optimal hedging policy. More surprising is the possibility of conflicting effects between risk aversion and prudence, when the firm wishes to speculate.

Keywords

Quantity riskmultiplicative riskforward tradingrisk aversionprudenceD81G10Risque de quantitérisque multiplicatifmarché à termeaversion au risqueprudenceD81G10
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 73 , Issue 2 , 2007 , pp. 217 - 228
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2007 

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Footnotes

*

Je tiens à remercier Agnès d'Artigues, Laurent Linnemer, Jacques Percebois, Olivier Rousse et Wilfried Sand-Zantman pour leurs remarques constructives sur ce travail. Je tiens également à remercier l'éditeur des Recherches Économiques de Louvain ainsi que trois rapporteurs qui ont permis d'améliorer significativement cet article. Les erreurs qui demeurent sont bien sûr de ma responsabilité.

**

LASER-CREDEN, Faculté de Sciences Économiques, Av. de la Mer, Site de Richter, CS 79606, 34960 Montpellier cedex 2, France. Email: [email protected]

References

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