Export and hedging decision with state-dependent utility
This paper studies the behavior of a risk-averse competitive exporting firm which is exposed to revenue risk due to a randomly fluctuating exchange rate. The firm has access to an unbiased foreign exchange forward market where the exchange rate risk can be hedged at no costs. We extend the standard approach by allowing for state-dependent utility and investigate whether the well-known separation theorem and the full hedge theorem still hold in such a generalized framework.
247-253
247-253
Elsevier