Technological advance and hedging decisions in unbiased futures markets
โ Scribed by Fathali Firoozi
- Book ID
- 116096209
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 639 KB
- Volume
- 46
- Category
- Article
- ISSN
- 0148-6195
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
## Abstract This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in most models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in both the settlement price and the basis risk and (ii) futures contracts and optio
uch has been written about the use of futures contracts to manage the interest rate 'For theoretical contributions, see Hilliard (1984), Ho andSaunders (1983), Kolb andChiang (1982), and Koppenhaver (1985(a)). On a more practical level, Booth and Koveos (1986) develop a two-stage linear programming