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Optimal hedging in the futures market under price uncertainty


  • Benninga, Simon
  • Eldor, Rafael
  • Zilcha, Itzhak


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  • 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.
  • Handle: RePEc:eee:ecolet:v:13:y:1983:i:2-3:p:141-145

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    References listed on IDEAS

    1. von Ungern-Sternberg, Thomas, 1981. "Inflation and Savings: International Evidence on Inflation-Induced Income Losses," Economic Journal, Royal Economic Society, vol. 91(364), pages 961-976, December.
    2. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    3. A. S. Deaton, 1972. "Wealth Effects on Consumption in a Modified Life-Cycle Model," Review of Economic Studies, Oxford University Press, vol. 39(4), pages 443-453.
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    Cited by:

    1. Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
    2. Udo Broll & Kit Wong, 2010. "Banking firm and hedging over the business cycle," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(1), pages 29-33, April.
    3. Lien, Donald & Kwak, Soojong, 2006. "Provisional liquidation of futures hedge programs," Energy Economics, Elsevier, vol. 28(2), pages 266-273, March.
    4. Pandey, Ajay, 2008. "Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets," IIMA Working Papers WP2008-06-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    5. Moschini, GianCarlo & Myers, Robert J., 2002. "Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 589-603, December.
    6. Lence, Sergio H., 1995. "On the optimal hedge under unbiased futures prices," Economics Letters, Elsevier, vol. 47(3-4), pages 385-388, March.
    7. Battermann, Harald L & Broll, Udo, 2001. "Inflation Risk, Hedging, and Exports," Review of Development Economics, Wiley Blackwell, vol. 5(3), pages 355-362, October.
    8. Kim, Jae-Gyeong, 1993. "Futures markets in an open economy," ISU General Staff Papers 1993010108000011461, Iowa State University, Department of Economics.
    9. Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
    10. 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.
    11. Adam-Muller, Axel F. A., 2000. "Hedging price risk when real wealth matters," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 549-560, August.
    12. Adams, Zeno & Gerner, Mathias, 2012. "Cross hedging jet-fuel price exposure," Energy Economics, Elsevier, vol. 34(5), pages 1301-1309.
    13. 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.
    14. Rao, Vadhindran K., 2000. "Preference-free optimal hedging using futures," Economics Letters, Elsevier, vol. 66(2), pages 223-228, February.
    15. Broll, Udo & Wong, Kit-Pong, 1997. "Hedging of exchange rate risk and regression dependence," Discussion Papers, Series II 355, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    16. Lence, Sergio H., 1996. "Relaxing The Assumptions Of Minimum-Variance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(01), July.
    17. Benninga, Simon Z. & Oosterhof, Casper M., 2004. "Hedging with forwards and puts in complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 1-17, January.
    18. Haruna, Shoji, 1996. "Industry equilibrium, uncertainty, and futures markets," International Journal of Industrial Organization, Elsevier, vol. 14(1), pages 53-70.

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