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Optimal hedging on futures markets for commodity-exporting nations

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  • Gemmill, Gordon

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  • Gemmill, Gordon, 1985. "Optimal hedging on futures markets for commodity-exporting nations," European Economic Review, Elsevier, vol. 27(2), pages 243-261, March.
    • Handle: RePEc:eee:eecrev:v:27:y:1985:i:2:p:243-261
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    1. Frankel, Jeffrey A., 1983. "Estimation of portfolio-balance functions that are mean-variance optimizing : The mark and the dollar," European Economic Review, Elsevier, vol. 23(3), pages 315-327, September.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Ronald I. McKinnon, 1967. "Futures Markets, Buffer Stocks, and Income Stability for Primary Producers," Journal of Political Economy, University of Chicago Press, vol. 75, pages 844-844.
    4. 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.
    5. Heifner, Richard G., 1978. "Minimum Risk Pre-Harvest Sales Of Soybeans," 1978 Annual Meeting, August 6-9, Blacksburg, Virginia 283701, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Breeden, Douglas T, 1980. "Consumption Risk in Futures Markets," Journal of Finance, American Finance Association, vol. 35(2), pages 503-520, May.
    7. Raymond M. Leuthold & Peter A. Hartmann, 1979. "A Semi-Strong Form Evaluation of the Efficiency of the Hog Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(3), pages 482-489.
    8. Rudiger Dornbusch, 1980. "Exchange Rate Economics: Where Do We Stand?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1, Tenth ), pages 143-206.
    9. 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.
    10. Anderson, Ronald W & Danthine, Jean-Pierre, 1983. "Hedger Diversity in Futures Markets," Economic Journal, Royal Economic Society, vol. 93(37), pages 370-389, June.
    11. Anne E. Peck, 1975. "Hedging and Income Stability: Concepts, Implications, and an Example," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 57(3), pages 410-419.
    12. Dusak, Katherine, 1973. "Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1387-1406, Nov.-Dec..
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    Cited by:

    1. Claessens, Stijn & Varangis, Panos, 1991. "Hedging crude oil imports in developing countries," Policy Research Working Paper Series 755, The World Bank.
    2. Varangis, Panos & Larson, Don, 1996. "Dealing with commodity price uncertainty," Policy Research Working Paper Series 1667, The World Bank.
    3. Claessens, Stijn, 1988. "The optimal currency composition of external debt," Policy Research Working Paper Series 14, The World Bank.
    4. Varangis, Panos & Thigpen, Elton & Satyanarayan, Sudhakar & DEC, 1994. "The use of New York cotton futures contracts to hedge cotton price risk in developing countries," Policy Research Working Paper Series 1328, The World Bank.

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