Optimal hedging under nonlinear borrowin
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Arias, JoaquοΏ½n; Brorsen, B. Wade; Harri, Ardian
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Article
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2000
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John Wiley and Sons
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English
β 285 KB
Empirical research using optimal hedge ratios usually suggests that producers should hedge much more than they do. In this study, a new theoretical model of hedging is derived. Optimal hedge and leverage ratios and their relationship with yield risk, price variability, basis risk, taxes, and financi