Good Approximation of Exponential Utility Function for Optimal Futures Hedging
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More about this item
Keywords
Exponential utility; optimal production; hedging; approximation;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2015-09-26 (Utility Models and Prospect Theory)
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