Firm's hedging behavior without the expected utility hypothesis

Research output: Contribution to journalArticlepeer-review


In this note we analyze the behavior of a competitive firm under price uncertainty and in the presence of a futures market. We show that the 'separation property', i.e., the independence of the firm's production level of the stochastic price's distribution, holds even if the firm maximizes non-expected utility functional and is not risk averse. Secondly, we show that its behavior in the futures market is the same as in the classical environment, even if one asks for a weaker notion of risk averseness. Finally, we briefly analyze the state-dependent case.

Original languageEnglish
Pages (from-to)145-148
Number of pages4
JournalEconomics Letters
Issue number2
StatePublished - 1986


Dive into the research topics of 'Firm's hedging behavior without the expected utility hypothesis'. Together they form a unique fingerprint.

Cite this