Optimal use of futures contracts for the competitive firm

Antoine Giannetti

Applied Financial Economics, 2006, vol. 16, issue 5, 425-427

Abstract: Standard futures hedging policies are based on the so-called optimal hedge ratio which implicitly ignores the competitive environment in which the firm operates. The purpose of this study is to derive an optimal hedging policy for a firm facing random production costs and a downward sloping demand curve for its product. In this context, the study shows that the optimal number of futures contracts is positively related to the elasticity of the firm's demand function.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100500400262 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:16:y:2006:i:5:p:425-427

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100500400262

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().