abstract one of the major risks in the agricultural sector is the price fluctuations risk of agricultural products. futures markets for agricultural products as one of the policies and executive approach have a significant impact on reducing price fluctuations of agricultural products. so in this study, in this study the factors affecting farmers likely to participate in the future market for p...

After devising expectational measures of production, price and exchange rate uncertainty, this paper presents a model to derive an optimal hedging strategy for a primary producer who is subject to variability on the price and the amount of its output and on the exchange rate risk when the final proceeds of its sales are not denominated in its currency of numeraire. In this model, it is assumed ...

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive expli...

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CA...

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires a high precision risk evaluation and an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly ...

In India the history of commodity derivatives market has a long history, though a structured and exchange traded derivative trading is not more than a decade long. The derivatives market is established for the main purpose of hedging the price risk. Since the inception of derivatives, the concern of how much to hedge technically called the hedge ratio is widely debated and discussed. In present...