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ing from self-insurance and self-protection effects of production choices, exporting firms usually have access to a number of risk sharing markets that have an efficient risk management role. Two of the most striking results achieved from the existen
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This paper examines the production and hedging decisions of the competitive firm under price uncertainty when the firm is not only risk averse but also regret averse. Regret-averse preferences are characterized by a modified utility function that inc
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We examine the economic behavior of the regret-averse firm under price uncertainty. We show that the global and marginal effects of price uncertainty on production are both positive (negative) when regret aversion prevails if the random output price
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We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second-order probability distribution that captures the bank's uncertainty about which of the subjective beliefs govern the financial asse
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Autor:
Broll, Udo, Wong, Kit Pong
This paper examines the optimal production and export decisions of an international firm facing exchange rate uncertainty when the firm's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second-order probability distribution t
This paper examines the behavior of the regret-averse multinational firm under exchange rate uncertainty. The multinational firm simultaneously sells in the home market and exports to a foreign country. We characterize the multinational firm's regret
Autor:
Broll, Udo, Wong, Kit Pong
This note examines the behavior of a competitive firm that faces joint price and inflation risk. Given that the price risk is negatively correlated with the inflation risk in the sense of expectation dependence, the firm optimally opts for an over-he
Autor:
Wong, Kit Pong
Publikováno v:
In International Review of Economics and Finance January 2024 89 Part A:594-604
Autor:
Wong, Kit Pong
Publikováno v:
In Journal of Mathematical Economics October 2022 102
Publikováno v:
In Pacific-Basin Finance Journal February 2022 71