THE MINIMUM SEMI-VARIANCE HEDGE FOR FOOD MANUFACTURERS IN KOREA

Sang-Hak Lee and Seung-Ryong Yang ()

No 21867, 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper derives downside risk minimizing hedge ratios for Korean food manufacturers who face commodity price risks and exchange rate risk simultaneously. The results show that the minimum semivariance hedge (MSVH) effectively reduces risks. The MSVH rule is evidently more efficient than the conventional minimum variance hedge.

Keywords: Agribusiness (search for similar items in EconPapers)
Pages: 17
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea00:21867

DOI: 10.22004/ag.econ.21867

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