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- W2056352954 abstract "Abstract This article examines the effect of disappointment aversion on cross-hedging decisions. We show that, when both futures and options markets are unbiased, disappointment aversion has no effect on the optimal hedge positions. In case that either market is biased, disappointment aversion induces the hedger to behave more conservatively. In addition, as the hedger becomes more disappointment averse, his action is more reserved. It is also found that disappointment aversion tends to depress the importance of the put options whereas the effect of risk aversion is not uniform. Analytical predictions are supplemented by numerical exercises." @default.
- W2056352954 created "2016-06-24" @default.
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- W2056352954 date "2006-02-01" @default.
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- W2056352954 title "Cross-hedging with futures and options: The effects of disappointment aversion" @default.
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- W2056352954 doi "https://doi.org/10.1016/j.mulfin.2005.02.001" @default.
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