scholarly journals Analysis of Optimal Hedging Ratio of Copper Futures Based on ECM Model

2017 ◽  
Author(s):  
Qing CAO
Keyword(s):  
Optimal Hedging ◽  
Hedging Ratio

scholarly journals Forward hedging under price and production risk of wheat

2008 ◽  
Vol 14 (2) ◽  
pp. 123 ◽  
Author(s):  
X. LIU ◽  
K. PIETOLA
Keyword(s):  
Absolute Risk ◽  
Price Volatility ◽  
Point Estimate ◽  
Experiment Data ◽  
Production Risk ◽  
Put Options ◽  
Conditional Mean ◽  
Optimal Hedging ◽  
Hedging Ratio ◽  
Forward Contract

This paper estimates optimal hedging ratios for a Finnish spring wheat producer under price and yield uncertainty. The contract available for hedging fixes the price and quantity at the time of sowing for a delivery at harvest. Autoregressive models are used to obtain point forecasts for the conditional mean price and price volatility at harvest. Expected yield and yield volatility are estimated from the field experiment data. A range of coefficients of absolute risk aversion are used in the computations. The results suggest that yield volatility is large and it dominates the price volatility in the optimal hedging decisions of the Finnish wheat producers. The point estimate for the price and yield correlation is negative and has a large magnitude. Thus, a negative correlation between the price and the yield, as signalled by the point estimate, will decrease the optimal hedging ratio since the Finnish farmers do not have access to selling put options when they enter in a forward contract.;

Optimal Hedging Ratio Model with Skewness

2009 ◽  
Vol 29 (9) ◽  
pp. 1-6 ◽  
Author(s):  
Long-bin ZHANG ◽  
Chun-feng WANG ◽  
Zhen-ming FANG
Keyword(s):  
Ratio Model ◽  
Optimal Hedging ◽  
Hedging Ratio

A portfolio approach to optimal hedging for a commercial cattle feedlot

1987 ◽  
Vol 7 (4) ◽  
pp. 443-457 ◽  
Author(s):  
Paul E. Peterson ◽  
Raymond M. Leuthold
Keyword(s):  
Optimal Hedging ◽  
Portfolio Approach ◽  
Cattle Feedlot

scholarly journals Variance optimal hedging for continuous time additive processes and applications

Stochastics ◽  
2013 ◽  
Vol 86 (1) ◽  
pp. 147-185 ◽  
Author(s):  
Stéphane Goutte ◽  
Nadia Oudjane ◽  
Francesco Russo
Keyword(s):  
Continuous Time ◽  
Additive Processes ◽  
Optimal Hedging

Optimal hedging and spreading on wheat futures markets

1989 ◽  
Vol 9 (2) ◽  
pp. 163-170 ◽  
Author(s):  
Da-Hsiang Donald Lien
Keyword(s):  
Futures Markets ◽  
Optimal Hedging
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