Relaxing Standard Hedging Assumptions in the Presence of Downside Risk

Fabio Mattos, Philip Garcia and Carl Nelson ()

No 19040, 2005 Conference, April 18-19, 2005, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The purpose of this study is to analyze how the introduction of a downside risk measure and less restrictive assumptions can change the optimal hedge ratio in the standard hedging problem. Based on a dataset of futures and cash prices for soybeans in the U.S., the empirical findings indicate that optimal hedge ratios change dramatically when a one-sided risk measure is adopted and standard assumptions are relaxed. Further, the results suggest that in a downside risk framework with realistic hedging assumptions there is little or no incentive for farmers to hedge.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 14
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://ageconsearch.umn.edu/record/19040/files/cp05ma01.pdf (application/pdf)

Related works:
Journal Article: Relaxing standard hedging assumptions in the presence of downside risk (2008)
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:ags:ncrfiv:19040

DOI: 10.22004/ag.econ.19040

Access Statistics for this paper

More papers in 2005 Conference, April 18-19, 2005, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().