Hedging in Presence of Market Access Risk

Glynn Tonsor

No 37621, 2008 Conference, April 21-22, 2008, St. Louis, Missouri from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Existing literature predominantly assumes perfect knowledge of production methods when deriving optimal futures position hedging rules. This paper relaxes this assumption and recognizes situations where producers interested in hedging may not know the exact input mix that will subsequently be used in their physical operations. This uncertainty is built into a conceptual model subsequently used to demonstrate the impacts of this risk on optimal hedging behavior.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 20
Date: 2008
New Economics Papers: this item is included in nep-agr
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccest:37621

DOI: 10.22004/ag.econ.37621

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