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Medientyp: E-Artikel Titel: What to do if a dollar is not a dollar? The impact of inflation risk on production and risk management Beteiligte: Adam‐Müller, Axel F. A. Erschienen: Wiley, 2002 Erschienen in: Journal of Futures Markets, 22 (2002) 4, Seite 371-386 Sprache: Englisch DOI: 10.1002/fut.10012 ISSN: 0270-7314; 1096-9934 Schlagwörter: Economics and Econometrics ; Finance ; General Business, Management and Accounting ; Accounting Entstehung: Anmerkungen: Beschreibung: AbstractAn entrepreneur faces two types of risk: one from income generation, one from income spending. His incomefrom firm profits is risky due to output price fluctuations and other risks. As a consumer, he is also exposedto inflation risk since he maximizes expected utility of real income. This article focuses on optimal productionand risk management decisions of a risk‐averse entrepreneur jointly facing tradable output price risk anduntradable inflation risk. Inflation risk applies multiplicatively to the entrepreneur's entire nominalincome. Relative risk aversion and the risks' joint distribution determine the effect of introducing afutures market on production. For dependent risks, this effect may be negative if relative risk aversion isabove one. Relative risk aversion and the joint distribution also determine optimal risk management with futurescontracts where speculation on a real risk premium and cross hedging may be conflicting objectives. © 2002Wiley Periodicals, Inc. Jrl Fut Mark 22:371–386, 2002