Managing price risk with futures contracts creates liquidity risk through marking to market. Liquidity risk matters in an imperfect capital market where interim losses on a futures position have to be financed at a borrowing rate that is higher than the risk-free rate. However, the impact of liquidity risk can be mitigated using options on futures. This paper analyzes the optimal risk managemen...

We analyze whether relative risk aversion is time-varying with households’ portfolio choice data. We first derive theoretical predictions on how risky shares respond to wealth fluctuations in a portfolio choice model with both external habits and timevarying labor income. Our analytical results indicate that: (1) for each household, there are two channels through which the risky share responds ...

Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and actuarial literature, on models suited to risk management and pricing. Financial economic approaches based on term structure models provide a framework for em...

identification and analysis of farmers’ vulnerability associated with their risk aversion degree is one of the necessary requirements for planning and reducing impacts of drought in iran. so, this study was investigated three risk vulnerability parameters (economic, social and technical) among wheat farmers categorized in accordance with their risk aversion degree in the mashhad county (iran) b...

the aim this research is the diagnosis of production chains in oil’s regions of iran. for this reason, by using, input-output table for oil’s regions of iran,linkages and production chains are identified. the results of research indicate that although oil and natural gas sectors contain 50 percent of region’s output, but it is not a leading sector. in contrast, manufacturing of species of machi...