Production and hedging decisions in futures and forward markets

Jacob Paroush; Avner Wolf

doi:10.1016/0165-1765(86)90053-4

Production and hedging decisions in futures and forward markets

Jacob Paroush
, Avner Wolf

Department of Economics

City University of New York

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

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	https://doi.org/10.1016/0165-1765(86)90053-4
State	Published - 1986

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Production and hedging decisions in futures and forward markets

Abstract

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