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Article: Price Risk and Risk Management in Agriculture

TitlePrice Risk and Risk Management in Agriculture
Authors
KeywordsAgricultural price risk
Risk management
Commodity futures
Correlation
Cross-hedge
Issue Date2013
PublisherWyzsza Szkola Finansow i Zarzadzania w Warszawie. The Journal's web site is located at http://ce.vizja.pl
Citation
Contemporary Economics, 2013, v. 7 n. 2, p. 17-20 How to Cite?
AbstractThis note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market position, i.e., a cross-hedge strategy, is actually an over-hedge, a full-hedge, or an under-hedge strategy, depending on whether the two prices are strongly positively correlated, uncorrelated, or negatively correlated, respectively.
Persistent Identifierhttp://hdl.handle.net/10722/184788
ISSN
2015 SCImago Journal Rankings: 0.233

 

DC FieldValueLanguage
dc.contributor.authorBroll, Uen_US
dc.contributor.authorWelzel, Pen_US
dc.contributor.authorWong, KPen_US
dc.date.accessioned2013-07-15T10:09:09Z-
dc.date.available2013-07-15T10:09:09Z-
dc.date.issued2013en_US
dc.identifier.citationContemporary Economics, 2013, v. 7 n. 2, p. 17-20en_US
dc.identifier.issn2084-0845-
dc.identifier.urihttp://hdl.handle.net/10722/184788-
dc.description.abstractThis note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market position, i.e., a cross-hedge strategy, is actually an over-hedge, a full-hedge, or an under-hedge strategy, depending on whether the two prices are strongly positively correlated, uncorrelated, or negatively correlated, respectively.-
dc.languageengen_US
dc.publisherWyzsza Szkola Finansow i Zarzadzania w Warszawie. The Journal's web site is located at http://ce.vizja.plen_US
dc.relation.ispartofContemporary Economicsen_US
dc.subjectAgricultural price risk-
dc.subjectRisk management-
dc.subjectCommodity futures-
dc.subjectCorrelation-
dc.subjectCross-hedge-
dc.titlePrice Risk and Risk Management in Agricultureen_US
dc.typeArticleen_US
dc.identifier.emailWong, KP: kpwong@econ.hku.hken_US
dc.identifier.authorityWong, KP=rp01112en_US
dc.identifier.doi10.5709/ce.1897-9254.79-
dc.identifier.hkuros215714en_US
dc.identifier.volume7en_US
dc.identifier.issue2-
dc.identifier.spage17en_US
dc.identifier.epage20en_US
dc.publisher.placePoland-

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