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Mean-Variance Analysis of Alternative Hedging Strategies*

Published online by Cambridge University Press:  28 April 2015

David Holland ,
Wayne D. Purcell  and
Terry Hague
David Holland
Affiliation:
University of Kentucky
Wayne D. Purcell
Affiliation:
Oklahoma State University
Terry Hague
Affiliation:
Oklahoma State University
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Extract

Much of the research in commodity hedging has concentrated upon the development of theoretical models describing the optimum position in cash and futures markets. Other studies have shown that the difference between current spot price and futures price represents the market price for storage, processing services, or both. The revenue stabilizing potential of futures markets for commodities with continuous as opposed to noncontinuous inventories has also received attention. However, very little work or literature is publicly available on how different hedging strategies actually would have performed for a particular commodity over time.

Type
Research Article
Information
Journal of Agricultural and Applied Economics , Volume 4 , Issue 1 , July 1972 , pp. 123 - 128
Copyright
Copyright © Southern Agricultural Economics Association 1972

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Footnotes

*

Oklahoma State Agr. Exp. Sta. Journal Article No. 2386

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