We analyze how the introduction of probability distortion and loss aversion in the standard hedging problem changes the optimal hedge ratio. Based on simulated cash and futures prices for soybeans, our results indicate that the optimal hedge changes considerably when probability distortion is...

Despite extensive study, researchers continue to search for consistent and reliable measures of risk preferences to explain market behavior. We find that a measure, combining experiments rooted in expected utility theory and measures derived from surveys, explains spot and contractual sales, but...

We examine the role that habit plays when producers determine their hedge ratio. Data were collected from U.S. cotton growers in which they indicated their hedging position in 2001 and 2002 as well as their perceived profitability, land ownership structure, and income. To account for...

This report proposes a prospective vision of the future of the European milk market after the removal of the quotas in 2015. The study has been conducted through consultation of a panel of independent experts. Experts have offered their opinions to describe future trends, driving factors,...