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Optimal hedging and spreading on wheat futures markets

✍ Scribed by Da-Hsiang Donald Lien

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
550 KB
Volume
9
Category
Article
ISSN
0270-7314

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✍ Anne E. Peck πŸ“‚ Article πŸ“… 1981 πŸ› John Wiley and Sons 🌐 English βš– 200 KB

choles' paper begins with the assertion that hedging and spreading are S economically identical activities. While not common trade use of these terms, what is meant is that both hedging and spreading are arbitrages, recognizing that what is being arbitraged is very different in each case. By the con

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his article considers the question, can the Australian Wheat Board (AWB) T benefit from hedging using the Chicago Board af Trade's wheat market? The AWB can use the prices generated by futures markets as guides for decision making and as a base for negotiating export contracts. In November 1982, the

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n optimal hedge ratio is usually defined as the proportion of a cash position A that should be covered with an opposite position on a futures market. Under certain simplifying assumptions discussed below, optimal hedge ratios can be characterized by a simple rule: set the hedge ratio equal to the ra

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A determination of the minimum variance hedging ratio.' The strength of these results is mitigated, however, by two factors: First, the researchers assume (implicitly or explicitly) that the hedger has a quadratic utility function. This is well-known to be a problematic assumption, since quadratic u