While Gorton and Rouwenhorst (2005) suggest using business cycle in tactical asset allocation with commodity futures, Jensen et al (2002) suggest using monetary policy in guiding the timing of investment. We investigate whether it is useful to watch both.We find that clever timing in asset...

We propose to use two futures contracts in hedging an agricultural commodity commitment to solve either the standard delta hedge or the roll-over issue. Most current literature on dual-hedge strategies is based on a structured model to reduce roll-over risk and is somehow difficult to apply for...