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Optimal Hedging in the Futures Market Under Price Uncertainty

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  • Benninga, Simon
  • Eldor, Rafael
  • Zilcha, Itz

Abstract

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Suggested Citation

  • Benninga, Simon & Eldor, Rafael & Zilcha, Itz, 1983. "Optimal Hedging in the Futures Market Under Price Uncertainty," Foerder Institute for Economic Research Working Papers 275367, Tel-Aviv University > Foerder Institute for Economic Research.
    • Handle: RePEc:ags:isfiwp:275367
    DOI: 10.22004/ag.econ.275367
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    References listed on IDEAS

    as
    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Holbrook Working, 1948. "Theory of the Inverse Carrying Charge in Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 30(1), pages 1-28.
    3. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    4. Rolfo, Jacques, 1980. "Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 100-116, February.
    5. Tetteh A. Kofi, 1973. "A Framework for Comparing the Efficiency of Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 55(4_Part_1), pages 584-594.
    Full references (including those not matched with items on IDEAS)

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