Hostname: page-component-cb9f654ff-9knnw Total loading time: 0 Render date: 2025-08-11T10:41:18.207Z Has data issue: false hasContentIssue false
  • English
  • Français

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

Published online by Cambridge University Press:  17 August 2016

Benoît Sévi  and
LASER-CREDEN
Get access

Résumé

Cet article examine la décision optimale de couverture d'une firme faisantface 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) estessentielle dans la caractérisation de la position optimale de la firme surle marché à terme. Plus surprenant, les notions d'aversion au risque et deprudence, peuvent donner lieu à des effets contraires, notamment lorsque lafirme souhaite spéculer.

Summary

Summary

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

Keywords

Quantity riskmultiplicative riskforward tradingrisk aversionprudenceD81G10Risque de quantitérisque multiplicatifmarché à termeaversion au risqueprudenceD81G10

Information

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 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

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: benoit.sevi@gmail.com

References

Références

Anderson, R.W. et Danthine, J.-P. (1981). “Cross hedging”, Journal of Political Economy, vol. 89, n°6, pp. 1182–1196.Google Scholar
Anderson, R.W. et Danthine, J.-P. (1983). “Hedger diversity in futures markets”, Economic Journal, vol. 93, n°370, pp. 370–389.Google Scholar
Barnett, B.J. (2000). “The U.S. federal crop insurance program”, Canadian Journal of Agricultural Economics, vol. 48, n°4, pp. 539–551.Google Scholar
Baron, D.P. (1970). “Price Uncertainty, utility and industry equilibrium in pure competition”, International Economic Review, vol. 11, n°3, pp. 463–480.Google Scholar
Benninga, S., Eldor, R. et Zilcha, I. (1984). “The optimal hedge ratio in unbiased futures markets”, Journal of Futures Markets, vol. 4, n°2, pp. 155–161.Google Scholar
Briys, E., Crouhy, M. et Schlesinger, H. (1993). “Optimal hedging in a futures market with background risk noise and basis risk”, European Economic Review, vol. 37, n°5, pp. 949–960.Google Scholar
Crainich, D. et Eeckhoudt, L. (2005). “La notion économique de prudence : origine et développements récents”, Revue Economique, vol. 56, n°5, pp. 1021–1032.Google Scholar
Danthine, J.-P. (1978). “Information, futures market and stabilizing speculation”, Journal of Economie Theory, vol. 17, n°l, pp. 79–98.Google Scholar
Drèze, J.H. et Modigliani, F. (1972). “Consumption decisions under uncertainty”, Journal of Economic Theory, vol. 5, n°3, pp. 308–335.Google Scholar
Ederington, L.H. (1979). “The hedging performance of new futures markets”, Journal of Finance, vol. 34, n°l, pp. 157–170.Google Scholar
Eeckhoudt, L., Gollier, C. et Schlesinger, H. (2005). Economic and Financial Decisions under Risk, Princeton: Princeton University Press.Google Scholar
Feder, G., Just, R.E. et Schmitz, A. (1980). “Futures markets and the theory of the firm under price uncertainty”, Quarterly Journal of Economics, vol. 94, n°2, pp. 317–28.Google Scholar
Finkelshtain, I. et Chalfant, J.A. (1993). “Portfolio choices in the presence of other risks”, Management Science, vol. 39, n°8, pp. 925–938.Google Scholar
Finkelshtain, I, Kella, O. et Scarsini, M. (1999). “On risk aversion with two risks”, Journal of Mathematical Economics, vol. 31, n°2, pp. 239–250.Google Scholar
Gollier, C. (2001). The Economics of Risk and Time. Cambridge, MA: MIT Press.Google Scholar
Graham, J.R. et Rogers, D.A. (2002). “Do firms hedge in response to tax incentives?”, Journal of Finance, vol. 57, n°2, pp. 815–839.Google Scholar
Greenwald, B.C. et Stiglitz, J.E. (1990). “Asymmetric information and the new theory of the firm: financial constraints and risk behavior”, American Economic Review Papers and Proceedings, vol. 80, n°2, 160–165.Google Scholar
Greenwald, B.C. et Stiglitz, J.E. (1993). “Financial market imperfections and business cycles” Quarterly Journal of Economics, vol. 108, n°l, pp. 77–114.Google Scholar
Holthausen, D.M. (1979). “Hedging and the competitive firm under price uncertainty”, American Economic Review, vol. 69, n°5, pp. 989–995.Google Scholar
Hull, J.C. (2003). Options, Futures, and Other Derivatives 6th Ed., Upper Saddle River: Prentice Hall.Google Scholar
Kerkvliet, J. et Moffett, M.H. (1991). “The hedging of an uncertain future foreign currency cash flow”, Journal of Financial and Quantitative Analysis, vol. 26, n°4, pp. 565–580.Google Scholar
Kihlstrom, R.E., Romer, D. et Williams, S. (1981). “Risk aversion with random initial wealth”, Econometrica, vol. 49, n°4, pp. 911–920.Google Scholar
Kimball, M.S. (1990). Precautionary saving in the small and in the large, Econometrica, vol. 58, n°l, pp. 53–73.Google Scholar
Kimball, M.S. (1993). Standard risk aversion, Econometrica, vol. 61, n°3, pp. 589–611.Google Scholar
Lapan, H. et Moschini, G. (1994). “Futures hedging under price, basis, and production risk”, American Journal of Agricultural Economics, vol. 76, n°3, pp. 465–477.Google Scholar
Leland, H.E. (1968). “Saving and uncertainty: the precautionary demand for saving”, Quarterly Journal of Economics, vol. 82, n°3, pp. 465–473.Google Scholar
Losq, E. (1982). “Hedging with price and output uncertainty”, Economics Letters, vol. 10, n°l, pp. 65–70.Google Scholar
Mahul, O. (2003). “Hedging price risk in the presence of crop yield and revenue insurance”, European Review of Agricultural Economics, vol. 30, n° 2, pp. 217–239.Google Scholar
Masson, R.T. (1972). “The creation of risk aversion by imperfect capital markets”, American Economic Review, vol. 62, n° 1, pp. 77–86.Google Scholar
Menezes, C, Geiss, C. et Tressler, J. (1980). “Increasing downside risk”, American Economic Review, vol. 70, n° 5, pp. 921–932.Google Scholar
Mckinnon, R.I. (1967). “Futures markets, buffer stocks, and income stability for primary producers”, Journal of Political Economy, vol. 75, n°6, pp. 844–861.Google Scholar
Nachman, D.C. (1982). “Preservation of ‘more risk averse’ under expectations”, Journal of Economic Theory, 28, n°2, pp. 361–368.Google Scholar
Pennings, J.M.E. et Garcia, P. (2001). “Measuring producers’ risk preferences: A global risk-attitude construct”, American Journal of Agricultural Economics, vol. 83, n°4, pp. 993–1009.Google Scholar
Pennings, J.M.E. et Smidts, A. (2003). “The shape of utility functions and orga-nizational behavior, Management Science, vol. 49, n° 9, pp. 1251–1263.Google Scholar
Pratt, J.W. (1988). “Aversion to one risk in the presence of others”, Journal of Risk and Uncertainty vol. 1, n°4, pp. 395–413.Google Scholar
Rothschild, M. et Stiglitz, J.E. (1971). “Increasing risk: I. A definition”, Journal of Economic Theory, vol. 2, n°3, pp. 225–243.Google Scholar
Sandmo, A. (1970). “The effect of uncertainty on saving decisions”, Review of Economic Studies, vol. 37, n°lll, pp. 586–599.Google Scholar
Sandmo, A. (1971). “On the theory of the competitive firm under price uncertainty”, American Economic Review, vol. 61, n°l, pp. 65–73.Google Scholar
Sévi, B. (2006). “Hedging an unknown quantity with variable cost function”, Finance Letters, sous presse.Google Scholar
Stulz, R.M. (2003). Risk management and derivatives, Mason: South-Western.Google Scholar
Tsetlin, I. et Winkler, R.L. (2005). “Risky Choices and Correlated Background Risk”, Management Science, vol. 51, n°9, pp. 1336–1345.Google Scholar
Vercammen, J. (1994). “Capital constraints and optimal hedging in factor markets”, Economics Letters, vol. 45, n°4, pp. 433–439.Google Scholar
Wilson, R. (2002). “Architecture of power markets”, Econometrica, vol. 70, n°4, pp. 1299–1340.Google Scholar