Arias, Joaquín; Brorsen, B. Wade; Harri, Ardian - In: Journal of Futures Markets 20 (2000) 4, pp. 375-396
Empirical research using optimal hedge ratios usually suggests that producers should hedge much more than they do. In this study, a new theoretical model of hedging is derived. Optimal hedge and leverage ratios and their relationship with yield risk, price variability, basis risk, taxes, and...