Exchange Rate Risk Sharing Contract with Risk-averse Firms
- Yang Liu, Yong-kai MA, Hong Fu
- Corresponding Author
- Yang Liu
Available Online December 2013.
- https://doi.org/10.2991/asshm-13.2013.94How to use a DOI?
- risk-averse; mean-variance model; exchange rate risk; global supply chain.
- In this paper, we consider a global supply chain model which includes a retailer and a manufacturer from different countries. We use a mean-variance model to study how the foreign exchange transaction exposure affects this global supply chain. Furthermore, we design a risk sharing contract to improve the expected utilities of both the node enterprises. Based on our analysis, we find this risk sharing contract can realize the Pareto improvements in this global supply chain when the firms’ risk aversion coefficients satisfy some conditions.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yang Liu AU - Yong-kai MA AU - Hong Fu PY - 2013/12 DA - 2013/12 TI - Exchange Rate Risk Sharing Contract with Risk-averse Firms BT - 2013 International Conference on Advances in Social Science, Humanities, and Management (ASSHM-13) PB - Atlantis Press UR - https://doi.org/10.2991/asshm-13.2013.94 DO - https://doi.org/10.2991/asshm-13.2013.94 ID - Liu2013/12 ER -