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On the Optimal Hedge Under Unbiased Futures Prices

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  • Lence, Sergio H.

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Bibliographic Info

Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 5115.

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Date of creation: 01 Jan 1995
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Publication status: Published in Economics Letters 1995, vol. 47, pp. 385-388
Handle: RePEc:isu:genres:5115

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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
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Web page: http://www.econ.iastate.edu
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References

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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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  1. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
  2. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December.
  3. Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145.
  4. Lapan, Harvey E. & Moschini, GianCarlo & Hanson, Steven D., 1991. "Production Hedging and Speculative Decisions with Options and Future Markets," Staff General Research Papers 10810, Iowa State University, Department of Economics.
  5. Lence, Sergio H. & Hayes, Dermot J. & Meyers, William H., 1992. "Futures Markets and Marketing Firms: The U.S. Soybean-Processing Industry," Staff General Research Papers 482, Iowa State University, Department of Economics.
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Cited by:
  1. Wong, Kit Pong, 2013. "Fixed versus variable rate loans under state-dependent preferences," Economic Modelling, Elsevier, vol. 31(C), pages 659-663.
  2. Axel F. A. Adam-Müller, 2001. "What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management," CoFE Discussion Paper 01-06, Center of Finance and Econometrics, University of Konstanz.
  3. Broll, Udo & Wahl, Jack E., 1998. "Missing risk sharing markets and the benefits of cross-hedging in developing countries," Journal of Development Economics, Elsevier, vol. 55(1), pages 43-56, February.
  4. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
  5. Rodt, Marc & Schäfer, Klaus, 2005. "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers 2005,18, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
  6. GianCarlo Moschini & Robert J. Myers, 2001. "Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach," Center for Agricultural and Rural Development (CARD) Publications 01-wp268, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  7. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2956-2964, November.
  8. Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 133-161, December.
  9. Lien, Donald & Kwak, Soojong, 2006. "Provisional liquidation of futures hedge programs," Energy Economics, Elsevier, vol. 28(2), pages 266-273, March.
  10. Rao, Vadhindran K., 2000. "Preference-free optimal hedging using futures," Economics Letters, Elsevier, vol. 66(2), pages 223-228, February.
  11. John Cotter & Jim Hanly, 2011. "Time Varying Risk Aversion: An Application to Energy Hedging," Papers 1103.5968, arXiv.org.
  12. Anton Bekkerman, 2011. "Time-varying hedge ratios in linked agricultural markets," Agricultural Finance Review, Emerald Group Publishing, vol. 71(2), pages 179-200, July.
  13. Lai, Jing-Yi & Myers, Robert J. & Hanson, Steven D., 2003. "Optimal On-Farm Grain Storage by Risk-Averse Farmers," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(03), December.
  14. Moawia Alghalith & Ricardo Lalloob, 2012. "A General Empirical Model of Hedging," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 5(1), pages 1-19, December.
  15. Battermann, Harald L & Broll, Udo, 2001. "Inflation Risk, Hedging, and Exports," Review of Development Economics, Wiley Blackwell, vol. 5(3), pages 355-62, October.

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