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Target-MOTAD: A Stochastic Dominant Method For Evaluating Alternative Profit Margin Hedging Strategies

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  • Rowsell, John B.
  • Kenyon, David E.

Abstract

This paper documents a simulation of profit margin hedging strategies, for a 150 sow farrow to finish operation, using commodity option and commodity future contracts. Criteria for ordering hedging strategies are reviewed. Integer programming with Target-MOTAD was applied to the results of the simulated strategies.

Suggested Citation

  • Rowsell, John B. & Kenyon, David E., 1988. "Target-MOTAD: A Stochastic Dominant Method For Evaluating Alternative Profit Margin Hedging Strategies," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270146, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea88:270146
    DOI: 10.22004/ag.econ.270146
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    References listed on IDEAS

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    1. Van Arsdall, Roy N. & Nelson, Kenneth E., 1985. "Economies of Size in Hog Production," Technical Bulletins 157010, United States Department of Agriculture, Economic Research Service.
    2. Holland, David W. & Purcell, Wayne D. & Hague, Terry, 1972. "Mean-Variance Analysis Of Alternative Hedging Strategies," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 4(1), pages 1-6, July.
    3. Baron, David P, 1977. "On the Utility Theoretic Foundations of Mean-Variance Analysis," Journal of Finance, American Finance Association, vol. 32(5), pages 1683-1697, December.
    4. Myles J. Watts & Larry J. Held & Glenn A. Helmers, 1984. "A Comparison of Target MOTAD to MOTAD," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 175-186, March.
    5. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    6. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    7. Holland, David & Purcell, Wayne D. & Hague, Terry, 1972. "Mean-Variance Analysis of Alternative Hedging Strategies," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 4(1), pages 123-128, July.
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