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| Bullock, David W.; Wilson, William W.; Dahl, Bruce L.. |
| In this study, the strategic impacts of input-output price relationships on end-users' demands for futures and/or options are analyzed. An analytical model is developed based on mean-variance utility and extended to account for the impact of output prices and the inclusion of both futures and/or call options in the portfolio. This study makes several contributions to the literature on risk management in agriculture. First, its focus is on end-users and captures their unique characteristics. Second, it explicitly captures the correlation between input-output prices on hedging strategies. Finally, it incorporates options into a portfolio model. The analytic model was applied to the bread baking industry, an important agribusiness processor, which is... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Futures; Options; Risk Management; Processors; Hedging; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/23628 |
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