Optimal Hedging under Forward-Looking Behavior

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dc.contributor.author Hayes, Dermot
dc.contributor.author Lence, Sergio
dc.contributor.author Hayes, Dermot
dc.contributor.author Lence, Sergio
dc.contributor.department Center for Agricultural and Rural Development
dc.date 2018-02-16T11:43:01.000
dc.date.accessioned 2020-06-30T01:02:25Z
dc.date.available 2020-06-30T01:02:25Z
dc.date.embargo 2015-06-05
dc.date.issued 1993-06-01
dc.description.abstract <p>The study focuses on the production and hedging behavior of forward-looking risk-averse competitive firms. It is shown that there is separation between production and hedging. Optimal production for a forward-looking firm is identical to that of an otherwise equivalent myopic firm. However, the optimal forward-looking hedge differs from the optimal myopic hedge. If forward prices are unbiased, full hedging is suboptimal when the firm is forward-looking and output and material input prices are contemporaneously related. Furthermore, under certain conditions, the optimal forward-looking hedge under unbiased forward prices is strictly smaller than the full hedge.</p>
dc.identifier archive/lib.dr.iastate.edu/card_workingpapers/129/
dc.identifier.articleid 1137
dc.identifier.contextkey 7186696
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath card_workingpapers/129
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/12442
dc.source.bitstream archive/lib.dr.iastate.edu/card_workingpapers/129/93wp108.pdf|||Fri Jan 14 19:32:41 UTC 2022
dc.subject.disciplines Behavioral Economics
dc.subject.disciplines Finance
dc.subject.keywords Futures
dc.subject.keywords hedging
dc.subject.keywords forward-looking decision making
dc.title Optimal Hedging under Forward-Looking Behavior
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isAuthorOfPublication 5150ce51-74b1-46ee-b100-34d2536463bb
relation.isAuthorOfPublication 3c26c85e-921b-4cd2-b2e9-e0ea81c43adb
relation.isOrgUnitOfPublication 1a6be5f1-4f64-4e48-bb66-03bbcc25c76d
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