Abstract
This paper establishes the properties of (1) separation between production and risk elements, and (2) full hedging under unbiased price even in the presence of basis risk in the futures market. Also, a comparative statics highlights the richer effect of a change in the risk aversion on hedging when futures and forward markets coexist compared to that in the presence of just one market for hedging.
| Original language | English |
|---|---|
| Pages (from-to) | 139-143 |
| Number of pages | 5 |
| Journal | Economics Letters |
| Volume | 21 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1986 |