Uncertainty and risk are quintessential features of agricultural production. After a brief
overview of the main sources of agricultural risk, we provide an exposition of expected utility …

A Survey Page 1 Issues in Futures Markets: A Survey Avraham Kamara T article reviews the
major contributions in several issues in the literature of futures markets. In Section I the theory …

We develop a positive theory of the hedging behavior of value-maximizing corporations. We
treat hedging by corporations simply as one part of the firm's financing decisions. We …

This paper makes contributions in two directions. First, the paper presents a model in which
value-maximizing firms pursue active hedging policies. Second, the paper derives optimal …

Six different commodities are examined using daily data over two futures contract periods.
Cash and futures prices for all six commodities are found to be well described as …

Corporate risk hedging with forward contracts increases value by reducing incentives to
underinvest. This occurs because the hedge decreases the sensitivity of senior claim value …

We present a simple model implying that futures risk premia depend on both own‐market
and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided …

We estimate and test the conditional version of an International Capital Asset Pricing Model
using a parsimonious multivariate GARCH process. Since our approach is fully parametric …

A generalized approach to estimating optimal hedge ratios on futures markets is developed.
The generalized approach is not difficult to apply and provides a framework for evaluating …

Standard approaches to designing a futures hedge often suffer from two major problems.
First, they focus only on minimizing risk, so no account is taken of the impact on expected …