Methods for selecting the optimal dynamic hedge when production is stochastic
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DOI: 10.22004/ag.econ.6092
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- Larry S. Karp, 1987. "Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(3), pages 647-657.
- Karp, Larry, 1986. "Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5jp9q454, Department of Agricultural & Resource Economics, UC Berkeley.
References listed on IDEAS
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- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
- Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
Citations
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Cited by:
- Sergio H. Lence & Dermot J. Hayes & Yong Sakong, 1994.
"Multiperiod Production with Forward and Option Markets,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(2), pages 286-295.
- Sergio H. Lence & Yong Sakong & Dermot J. Hayes, 1993. "Multiperiod Production with Forward and Options Markets," Center for Agricultural and Rural Development (CARD) Publications 93-wp112, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Lence, Sergio H & Sakong, Yong & Hayes, Dermot J., 1994. "Multiperiod Production with Forward and Option Markets," ISU General Staff Papers 199401010800001140, Iowa State University, Department of Economics.
- Lence, Sergio H. & Sakong, Yong & Hayes, Dermot J., 1994. "Multiperiod Production with Forward and Options Markets," Staff General Research Papers Archive 634, Iowa State University, Department of Economics.
- Tronstad, Russell, 1991.
"The Effects of Firm Size and Production Cost Levels on Dynamically Optimal After-Tax Cotton Storage and Hedging Decisions,"
Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 23(1), pages 165-179, July.
- Tronstad, Russell, 1991. "The Effects Of Firm Size And Production Cost Levels On Dynamically Optimal After-Tax Cotton Storage And Hedging Decisions," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 23(01), pages 1-15, July.
- Tronstad, Russell, 1989. "Optimal Cash Grain Sale, Storage, and Hedging Decisions for Grain Producers: A Stochastic Dynamic Programming Analysis," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270518, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Blank, Steven C., 1989.
"Research On Futures Markets: Issues, Approaches, And Empirical Findings,"
Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), pages 1-14, July.
- Blank, Steven C., 1988. "Research On Futures Markets: Issues, Approaches And Empirical Findings," Working Papers 225817, University of California, Davis, Department of Agricultural and Resource Economics.
- Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," JRFM, MDPI, vol. 4(1), pages 1-29, December.
- Frank, Deon, 1992. "Agricultural Commodity Futures Markets In South Africa," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 31(4), December.
- Monson, Steven J., 1991. "Accounting for yield risk in preharvest commodity pricing decisions," ISU General Staff Papers 1991010108000018169, Iowa State University, Department of Economics.
- Zhao, Jieyuan & Goodwin, Barry K., 2012. "Dynamic Cross-Hedge Ratios: An Application of Copula Models," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124610, Agricultural and Applied Economics Association.
- Harvey Lapan & Giancarlo Moschini & Steven D. Hanson, 1991.
"Production, Hedging, and Speculative Decisions with Options and Futures Markets,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(1), pages 66-74.
- Lapan, Harvey & Moschini, Giancarlo & Hanson, Steven D., 1990. "Production, Hedging, And Speculative Decisions With Options And Futures Markets," 1990 Annual meeting, August 5-8, Vancouver, Canada 270980, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Lapan, Harvey E. & Moschini, GianCarlo & Hanson, Steven D., 1991. "Production Hedging and Speculative Decisions with Options and Future Markets," Staff General Research Papers Archive 10810, Iowa State University, Department of Economics.
- Kim, Tae-Kyun, 1989. "The factor bias of technical change and technology adoption under uncertainty," ISU General Staff Papers 1989010108000010138, Iowa State University, Department of Economics.
- Anderson, Jock R., 2003. "Risk in rural development: challenges for managers and policy makers," Agricultural Systems, Elsevier, vol. 75(2-3), pages 161-197.
- Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé, 2022.
"Dynamic optimal hedge ratio design when price and production are stochastic with jump,"
Annals of Finance, Springer, vol. 18(3), pages 419-428, September.
- Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Post-Print hal-02417401, HAL.
- Jing-Yi Lai, 2012. "An empirical study of the impact of skewness and kurtosis on hedging decisions," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1827-1837, December.
- Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019.
"Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump,"
Working Papers
hal-02417401, HAL.
- Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Post-Print hal-02417401, HAL.
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Keywords
Marketing; Research Methods/Statistical Methods;Statistics
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