Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic

Larry Karp

American Journal of Agricultural Economics, 1987, vol. 69, issue 3, 647-657

Abstract: A dynamic hedging problem with stochastic production is formulated and solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This information enables the analyst to select the risk aversion parameter that results in the preferred distribution of revenue.

Date: 1987
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Working Paper: Methods for selecting the optimal dynamic hedge when production is stochastic (1986)
Working Paper: Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic (1986)
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