Investment Potential of Agricultural Futures Contracts

T. Randall Fortenbery and Robert J. Hauser

American Journal of Agricultural Economics, 1990, vol. 72, issue 3, 721-726

Abstract: Investment benefits from trading live cattle, hog, corn, and soybean futures contracts are considered under the assumption that the investor's risk/return evaluation is relative to a highly diversified stock portfolio. A mean-variance approach is used to find the “optimal” mix of investments for the initial stock portfolio and for portfolios which may include both stocks and futures. The addition of futures contracts to the portfolio rarely increases the portfolio return. This finding is consistent with risk-premium results of previous studies. However, investment benefits from agricultural futures are found in the form of a reduction in the portfolio's nonsystematic risk.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:72:y:1990:i:3:p:721-726.

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