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Authors: Leuthold, Raymond M.
Noussinov, Mikhail A.
Keywords: cattle feeding
hedge ratios
hedging strategies
multiproduct hedging
optimal hedging
Issue Date: 1999
Abstract: Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent domination pattern among the alternative strategies, leaving the hedging decision up to the agent's degree of risk aversion. However, all hedging strategies significantly reduce the feeding margin's means and variances compared to no hedging, with variance reduction always exceeding 50%. Hedging results appear quite sensitive to the data set and its size.
Institution/Association: Journal of Agribusiness>Volume 17, Number 1, Spring 1999
Total Pages: 19
Language: English
From Page: 1
To Page: 19
Collections:Volume 17, Number 1, Spring 1999

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