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CROP YIELD AND PRICE DISTRIBUTIONAL EFFECTS ON REVENUE HEDGING AgEcon
Tirupattur, Viswanath; Hauser, Robert J.; Chaherli, Nabil M..
The use of crop yield futures contracts is examined. The expectation being modeled here reflects that of an Illinois corn and soybeans producer at planting, of revenue realized at harvest. The effects of using price and crop yield contracts are measured by comparing the results of the expected distribution to the expected distribution found under five general alternatives: 1) a revenue hedge using just price futures, 2) a revenue hedge using crop yield futures, 3) an unhedged scenario where revenue is determined by realized prices and yields, 4) an unhedged scenario where revenue is determined by realized prices and yields and by participation in government support programs with deficiency payments, and 5) a no hedge scenario where revenue is determined by...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 1996 URL: http://purl.umn.edu/14766
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THE USE OF MEAN-VARIANCE FOR COMMODITY FUTURES AND OPTIONS HEDGING DECISIONS AgEcon
Garcia, Philip; Adam, Brian D.; Hauser, Robert J..
This study provides additional evidence of the usefulness of mean-variance procedures in the presence of options which can truncate and skew the returns distribution. Using a simulation analysis, price hedging decisions are examined for hog producers when options are available. Mean-variance results are contrasted with optimal decisions based on negative exponential and Cox-Rubinstein utility functions over 56 ending price scenarios and two levels of risk aversion. The findings from our simulation, which considers discrete contracts, basis risk, lognormality in prices, transactions costs, and alternative utility specifications, affirm the usefulness of mean-variance framework.
Tipo: Journal Article Palavras-chave: Marketing.
Ano: 1994 URL: http://purl.umn.edu/31230
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