Mean-Variance Analysis of Alternative Hedging Strategies*

David Holland, Wayne D. Purcell and Terry Hague

Journal of Agricultural and Applied Economics, 1972, vol. 4, issue 1, 123-128

Abstract: 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.

Date: 1972
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