Speculation in Commodity Futures: An Application of Statistical Decision Theory

Samuel H. Logan and J. Bruce Bullock

Journal of Agricultural Economics Research, 1970, vol. 22, issue 4, 8

Abstract: A recursive, monthly price forecasting model for live; cattle serves as a basis for applying decision theory to speculation in cattle futures. The distribution of predicted futures prices is obtained from the standard error of the forecast of the cash price forecasting model in conjunction with the historical distribution of the difference between futures and cash prices during the month of futures contract delivery. Baumol's expected gain-confidence limit model is utilized in determining which of the available futures contracts offers the highest minimum payoff potential holding the probability of at least such a payoff constant.

Keywords: Financial Economics; Research Methods/Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Date: 1970
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uersja:146890

DOI: 10.22004/ag.econ.146890

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