EQUILIBRIUM OF SPOT AND FUTURES MARKETS UNDER UNCERTAINTY.
CALIFORNIA UNIV BERKELEY CENTER FOR RESEARCH IN MANAGEMENT SCIENCE
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The relation between equilibrium and optimum under uncertainty is explored in a model of an economy with spot markets at each date and with an incomplete system of futures markets for delivery contingent on future events. An equilibrium is a consistent set of plans, spot prices, and conditional forecasts of future prices. For the economy to achieve an optimum relative to a given structure of information, economic agents must be able to buy insurance against changes in spot prices. The role of spot prices as information signals is emphasized. Author
- Administration and Management
- Economics and Cost Analysis
- Operations Research