## An Agent Hedging with Commodity Options: Optimal Choice of Options, and Portfolio Analysis, Issue 70Center for the Study of Futures Markets, Columbia Business School, Columbia University, 1983 - Commodity exchanges - 61 pages |

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absolute risk aversion Anderson and Danthine ARA measure basis and quantity basis risk call and put call option cash position ceteris paribus commodity options computer simulation covariances curve in diagram exercise price expected net return exponential utility function fairly priced futures and options futures contracts futures market HARA utility function hedge a cash hedging with commodity high futures prices Hyperbolic Absolute Risk increases indicates interest rate linear mean variance long position low futures prices negative exponential utility number of options NW curve optimal futures position optimal option positions optimal portfolios option's premium options and futures overhedged position parameters partial equilibrium PENNSYLVANIA STATE UNIVERSITY Pf/cPR/f price in date pure hedge put option position puts yes yes quadratic function quadratic utility function quantity risks risk aversion ARA short straddle simulation analysis spot price terminal wealth Theorem theoretical beta trading instrument type of utility variables variance-covariance matrix yes yes strikes