Price Pooling and the Gains from Hedging: Application to a Swedish Grain Cooperative
Optimal hedging strategies are analyzed for a cooperative operating a price pooling system in the presence of price and quantity risk. A three-period model, accounting for default risk and storage, is developed. Hedging allows the cooperative to increase the pool price offered to farmers by 2.8 - 4% for moderate risk parameters.
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- Robert J. Myers & Steven D. Hanson, 1996. "Optimal Dynamic Hedging in Unbiased Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(1), pages 13-20.
- Myers, Robert J. & Thompson, Stanley R., 1988. "Generalized Optimal Hedge Ratio Estimation," Staff Papers 200967, Michigan State University, Department of Agricultural, Food, and Resource Economics.
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