Guo, Xu and Lien, Donald and Wong, WingKeung (2015): Good Approximation of Exponential Utility Function for Optimal Futures Hedging.

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Abstract
To get optimal production and hedging decision with normal random variables, Lien (2008) compares the exponential utility function with its second order approximation. In this paper, we first extend the theory further by comparing the exponential utility function with a norder approximation for any integer n. We then propose an approach with illustration how to get the least n one could choose to get a good approximation.
Item Type:  MPRA Paper 

Original Title:  Good Approximation of Exponential Utility Function for Optimal Futures Hedging 
Language:  English 
Keywords:  Exponential utility, optimal production, hedging, approximation 
Subjects:  C  Mathematical and Quantitative Methods > C0  General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions 
Item ID:  66841 
Depositing User:  WingKeung Wong 
Date Deposited:  23 Sep 2015 13:39 
Last Modified:  26 Sep 2019 17:19 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/66841 