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The Minimum Semi-Variance Hedge For Food Manufacturers In Korea

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Author Info
Lee, Sang-Hak
Yang, Seung-Ryong
Abstract

This paper derives downside risk minimizing hedge ratios for Korean food manufacturers who face commodity price risks and exchange rate risk simultaneously. The results show that the minimum semivariance hedge (MSVH) effectively reduces risks. The MSVH rule is evidently more efficient than the conventional minimum variance hedge.

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File URL: http://purl.umn.edu/21867
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Publisher Info
Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2000 Annual meeting, July 30-August 2, Tampa, FL with number 21867.

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Date of creation: 2000
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Handle: RePEc:ags:aaea00:21867

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Keywords: Agribusiness;

References listed on IDEAS
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  1. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-87, September. [Downloadable!] (restricted)
  2. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March. [Downloadable!] (restricted)
  3. Mao, James C. T., 1970. "Models of Capital Budgeting, E-V VS E-S," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(05), pages 657-675, January. [Downloadable!]
  4. Lence, Sergio, 2002. "The Economic Value of Minimum-Variance Hedges," Staff General Research Papers 5053, Iowa State University, Department of Economics.
  5. Hogan, William W. & Warren, James M., 1972. "Computation of the Efficient Boundary in the E-S Portfolio Selection Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1881-1896, September. [Downloadable!]
  6. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-70, March. [Downloadable!] (restricted)
  7. Bawa, Vijay S., 1978. "Safety-First, Stochastic Dominance, and Optimal Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(02), pages 255-271, June. [Downloadable!]
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