Optimal Dynamic Hedging Decisions for Grain Producers
Steve Martinez and
Kelly Zering ()
American Journal of Agricultural Economics, 1992, vol. 74, issue 4, 879-888
The application of an optimal dynamic hedging model was explored for a county in North Carolina. Corn yield, harvest corn basis, and December corn futures prices were forecast. The forecasts were used to calculate optimal dynamic hedge positions. When the hedge position was updated infrequently, commissions were only slightly higher than commissions from a fixed hedge. Gains from updating the hedge position over the corn growing season were not substantial compared to a fixed hedge position.
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:74:y:1992:i:4:p:879-888.
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