The main contribution of this paper is to make an extensive and detailed empirical analysis of the problem of hedging a forward exposure in the corn commodity market. Given the constraints imposed by the agricultural commodity data, I build on the pricing framework developed by Gibson and...

The traditional approach to discriminate amongst two competing hedging strategies is to compare the sample portfolio return variance implied by each strategy. This simple approach suffers from two drawbacks. First, it is an unconditional performance measure which is theoretically not coherent...

The predictability of futures returns is investigated using a semiparametric approach where it is assumed that the expected returns depend non parametrically on a combination of predictors. We first collapse the forecasting variables into a single index variable where the weights are identified...