Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 353070
Title Probability Distortion and Loss Aversion in Futures Hedging
Author(s) Mattos, F.; Garcia, P.; Pennings, J.M.E.
Event NCCC-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management, 2006-04-17/2006-04-18
Department(s) Marketing and Consumer Behaviour
MGS
Publication type Contribution in proceedings
Publication year 2006
Abstract We analyze how the introduction of probability distortion and loss aversion in the standard hedging problem changes the optimal hedge ratio. Based on simulated cash and futures prices for soybeans, our results indicate that the optimal hedge changes considerably when probability distortion is considered. However, the impact of loss aversion on hedging decisions appears to be small, and it diminishes as loss aversion increases. Our findings suggest that probability distortion is a major driving force in hedging decisions, while loss aversion plays just a marginal role.
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