Simultaneous output and input hedging: a decision analysis

Abstract

Purpose

The purpose of this paper is to present a realistic hedging model.

Design/methodology/approach

The paper uses a general utility function, general distributions, and a multiple‐input technology.

Findings

The study finds that the impact of one or both risks on the optimal output, hedge, or hedge ratio is determined by the market structure of one or both forward pieces.

Originality/value

This is the first paper that uses a general, complete, and realistic hedging model.

Citation

Alghalith, M. (2008), "Simultaneous output and input hedging: a decision analysis", Journal of Risk Finance, Vol. 9 No. 2, pp. 200-205. https://doi.org/10.1108/15265940810853940