Relaxing standard hedging assumptions in the presence of downside risk
AbstractThe purpose of this study is to analyze how the introduction of a downside risk measure and less restrictive assumptions can change the optimal hedge ratio in the standard hedging problem. Based on a dataset of futures and cash prices for soybeans in the U.S., the empirical findings indicate that optimal hedge ratios change dramatically when a one-sided risk measure is adopted and standard assumptions are relaxed. Further, the results suggest that in a downside risk framework with realistic hedging assumptions there is little or no incentive for farmers to hedge.
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Bibliographic InfoArticle provided by Elsevier in its journal The Quarterly Review of Economics and Finance.
Volume (Year): 48 (2008)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/inca/620167
Other versions of this item:
- Mattos, Fabio & Garcia, Philip & Nelson, Carl H., 2005. "Relaxing Standard Hedging Assumptions in the Presence of Downside Risk," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19040, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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