Journal of Political Economy Vol. 89 No. 6 1981
Cross Hedging
Abstract
The paper provides a theoretical description of hedging in futures markets that account for the behavior of a broad class of agents. Specific optimal decision rules are derived for agents concerned with the mean and variance of profit. These rules are used to evaluate how optimal cash and futures positions are related to price expectations, the production possibilities, and the number of futures markets available.
- DOI
- 10.1086/261028
- Volume
- 89
- Issue
- 6
- Pages
- 1182-1196
- Language
- en
- Sources
- openalex crossref