This paper examined optimal grain marketing strategies for a southeast Indiana case farm. Specifically, a downside risk model was used to examine the tradeoffs between net return and downside risk, and to determine whether the optimal marketing strategy changed as downside risk was reduced. The hedge and roll marketing strategy had the highest net return for both corn and soybeans. Even when downside risk was reduced, the hedge and roll strategy was an important component of optimal marketing strategies. Results stress the importance of using a portfolio of marketing strategies for corn and soybeans.