értekezés - Budapesti Corvinus Egyetem

7. függelék - Az FSS modell levezetése
0.
Decision to hedge
1.
w 1
e
I*
2.
e + C(e)
f (I)
@ t=1 (for a given w )
NPV
P
( w
) = max
( f
( I
) −
I
−
C
( e
)
)
deadweigth cost
I
*:
⎛
de
f
I −
1
=
C
e
⎜
=
1
⎝
dI
for
⎞
given
w
⎟
⎠
@ t=0 Decision on hedging w (Hedge if P is concave in internal wealth)
P
ww
=
f
II
⎛
dI
*
⎞
⎜
⎟
⎝
dw
⎠
2
−
C
ee
⎛
dI
*
⎞
⎜
−
1
⎟
⎝
dw
⎠
2
⎛
de
⎞
⎜
⎟
⎝
dw
⎠
2
⎛
dI
*
⎞
=
⎜
−
1
⎟
⎝
dw
⎠
2
assuming dI
* =
0
dw
P
ww
dI
*
−
f
II
C
ee
dI
*
⎛
dI
*
⎞
= f
II
=
f
II
=
C
ee
⎜
−
1
⎟
dw
f
−
C
dw
⎝
dw
⎠
II
ee
Implications
1. if e = 0 C(e) = 0 dI
* = 1
dw
P w w
= f
II
< 0
CONCAVE
2. if I is fixed dI
* =
0
P
w
w
=
−
C
ee
dw
CONCAVE (C ee > 0)
dI
*
3. for cases 0 < <
1
dw
P
w w
−
f
II
C
=
f
−
C
II
ee
ee
CONCAVE
(Cee > 0)
?
(Cee < 0)
Hedging is driven by the interaction between invstment and
financing considerations represented by f II & C ee
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