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Mean-Variance Analysis of Alternative Hedging Strategies

Author

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  • Holland, David
  • Purcell, Wayne D.
  • Hague, Terry

Abstract

Much of the research in commodity hedging has concentrated upon the development of theoretical models describing the optimum position in cash and futures markets. Other studies have shown that the difference between current spot price and futures price represents the market price for storage, processing services, or both. The revenue stabilizing potential of futures markets for commodities with continuous as opposed to noncontinuous inventories has also received attention. However, very little work or literature is publicly available on how different hedging strategies actually would have performed for a particular commodity over time.

Suggested Citation

  • Holland, David & Purcell, Wayne D. & Hague, Terry, 1972. "Mean-Variance Analysis of Alternative Hedging Strategies," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 4(1), pages 123-128, July.
    • Handle: RePEc:cup:jagaec:v:4:y:1972:i:01:p:123-128_01
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    Citations

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    Cited by:

    1. Klinefelter, D.A. & Sonka, S.T. & Baker, C.B., 1980. "Selection And Screening Of Marketing Options For Risk Evaluation," Risk Analysis in Agriculture: Research and Educational Developments, January 16-18, 1980, Tucson, Arizona 271567, Regional Research Projects > W-149: An Economic Evaluation of Managing Market Risks in Agriculture.
    2. Ziehm, William Walter, 1986. "An evaluation of alternative hedging strategies for Iowa cattle feeders: before, at, and after placement, 1974-1984," ISU General Staff Papers 1986010108000018118, Iowa State University, Department of Economics.
    3. Tabesh, Hamid, 1987. "Hedging price risk to soybean producers with futures and options: a case study," ISU General Staff Papers 1987010108000010306, Iowa State University, Department of Economics.
    4. Purcell, Wayne D. & Riffe, Don A., 1980. "The Impact Of Selected Hedging Strategies On The Cash Flow Position Of Cattle Feeders," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 12(1), pages 1-9, July.
    5. Rowsell, John B. & Kenyon, David E., 1988. "Target-MOTAD: A Stochastic Dominant Method For Evaluating Alternative Profit Margin Hedging Strategies," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270146, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. McKinnell, Cathy S. & Kahl, Kandice H. & Curtis, Charles E., Jr., 1990. "A Regional Comparison Of Risk-Efficient Soybean Marketing Strategies," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(1), pages 1-10, July.

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