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| Leuthold, Raymond M.; Noussinov, Mikhail A.. |
| Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent domination pattern among the alternative strategies, leaving the hedging decision up to the agent's degree of risk aversion. However, all hedging strategies significantly reduce the feeding margin's means and variances compared to no hedging, with variance reduction always exceeding 50%. Hedging results appear quite sensitive to the data set and its size. |
| Tipo: Journal Article |
Palavras-chave: Cattle feeding; Hedge ratios; Hedging strategies; Multiproduct hedging; Optimal hedging; Marketing. |
| Ano: 1999 |
URL: http://purl.umn.edu/14679 |
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