Relaxing the Assumptions of Minimum-Variance Hedging
The most important minimum-variance hedging ration assumptions are (a) that production is deterministic and (b) that all of the agent's wealth is invested in the cash position. Stochastic production greatly reduces optimal hedge ratios. An alternative investment greatly reduces opportunity cost...
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| Format: | Article |
| Language: | English |
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Western Agricultural Economics Association
1996-07-01
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| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/30990 |