File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.5709/ce.1897-9254.79
- Scopus: eid_2-s2.0-84879559649
- WOS: WOS:000433827300002
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Price Risk and Risk Management in Agriculture
Title | Price Risk and Risk Management in Agriculture |
---|---|
Authors | |
Keywords | Agricultural price risk Risk management Commodity futures Correlation Cross-hedge |
Issue Date | 2013 |
Publisher | Wyzsza Szkola Finansow i Zarzadzania w Warszawie. The Journal's web site is located at http://ce.vizja.pl |
Citation | Contemporary Economics, 2013, v. 7 n. 2, p. 17-20 How to Cite? |
Abstract | This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market position, i.e., a cross-hedge strategy, is actually an over-hedge, a full-hedge, or an under-hedge strategy, depending on whether the two prices are strongly positively correlated, uncorrelated, or negatively correlated, respectively. |
Persistent Identifier | http://hdl.handle.net/10722/184788 |
ISSN | 2023 Impact Factor: 2.4 2023 SCImago Journal Rankings: 0.372 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Broll, U | en_US |
dc.contributor.author | Welzel, P | en_US |
dc.contributor.author | Wong, KP | en_US |
dc.date.accessioned | 2013-07-15T10:09:09Z | - |
dc.date.available | 2013-07-15T10:09:09Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Contemporary Economics, 2013, v. 7 n. 2, p. 17-20 | en_US |
dc.identifier.issn | 2084-0845 | - |
dc.identifier.uri | http://hdl.handle.net/10722/184788 | - |
dc.description.abstract | This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market position, i.e., a cross-hedge strategy, is actually an over-hedge, a full-hedge, or an under-hedge strategy, depending on whether the two prices are strongly positively correlated, uncorrelated, or negatively correlated, respectively. | - |
dc.language | eng | en_US |
dc.publisher | Wyzsza Szkola Finansow i Zarzadzania w Warszawie. The Journal's web site is located at http://ce.vizja.pl | en_US |
dc.relation.ispartof | Contemporary Economics | en_US |
dc.subject | Agricultural price risk | - |
dc.subject | Risk management | - |
dc.subject | Commodity futures | - |
dc.subject | Correlation | - |
dc.subject | Cross-hedge | - |
dc.title | Price Risk and Risk Management in Agriculture | en_US |
dc.type | Article | en_US |
dc.identifier.email | Wong, KP: kpwong@econ.hku.hk | en_US |
dc.identifier.authority | Wong, KP=rp01112 | en_US |
dc.identifier.doi | 10.5709/ce.1897-9254.79 | - |
dc.identifier.scopus | eid_2-s2.0-84879559649 | - |
dc.identifier.hkuros | 215714 | en_US |
dc.identifier.volume | 7 | en_US |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 17 | en_US |
dc.identifier.epage | 20 | en_US |
dc.identifier.isi | WOS:000433827300002 | - |
dc.publisher.place | Poland | - |
dc.identifier.issnl | 2084-0845 | - |