The demand for hedging and the value of hedging opportunities

被引：16
|
作者：
Frechette, DL [1 ]
机构：
[1] Penn State Univ, Dept Agr Econ & Rural Sociol, University Pk, PA 16802 USA
来源：
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 2000年 / 82卷 / 04期
关键词：
basis risk; corn prices; dairy; hedging; risk management;
D O I：
10.1111/0002-9092.00089
中图分类号：
F3 [农业经济];
学科分类号：
0202 ; 020205 ; 1203 ;
摘要：
Hedging strategies typically assume that hedging is costless and that only one futures market exists. When these assumptions are dropped, the demand for hedging is shown to depend on basis risk, price risk, and the hedger's risk preference. The marginal and incremental value of hedging opportunities are computed for the general cases of one and two markets and applied to the specific case of Pennsylvania dairy input hedging.
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页码：897 / 907
页数：11
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