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Hedge ratios under inherent risk reduction in a commodity complex: An interpretation

✍ Scribed by Jacques A. Schnabel

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 253 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120106

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✦ Synopsis

Consider a decision-maker who, at time 0, projects the need to purchase Q , units of an input into a production process at time 1. The uncertain time 1 price per unit of

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Hedge ratios under inherent risk reducti

Hedge ratios under inherent risk reduction in a commodity complex

✍ Dah-Nein Tzang; Raymond M. Leuthold 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 470 KB

n extensive body of recent research in futures markets deals with determining A optimal hedge ratios or minimum variance hedge ratios for decision makers seeking to reduce risk on a single commodity. The standard approach involves the construction of a portfolio model of commodity stocks and futures