WEIGHTED EXPECTED UTILITY HEDGE RATIOS

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dc.creatorFrechette, Darren L.
dc.creatorTuthill, Jonathan W.
dc.date2017-04-01T19:38:07Z
dc.date.accessioned2026-07-09T03:25:59Z
dc.descriptionWe derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum variance hedge ratios and larger than expected utility hedge ratios.
dc.identifierdoi:10.22004/ag.econ.18931
dc.identifierhttps://ageconsearch.umn.edu/record/18931/files/cp00fr02.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/18931
dc.identifier.urihttp://hdl.handle.net/123456789/532461
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/18931
dc.titleWEIGHTED EXPECTED UTILITY HEDGE RATIOS
dc.typeText

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University of Minnesota