Intertemporal Commodity Futures Hedging and the Production Decision
研究生产者如何利用商品期货进行跨期套期保值，在面临价格和产量双重不确定性的情况下，通过随机动态规划分析其最优生产决策和期货持仓，并讨论对期货市场的启示。
ABSTRACT This paper deals with the producer's optimal use of commodity futures in hedging. The framework for analysis is an intertemporal consumption and investment model. The producer makes his production decisions at the beginning of the period and realizes his return at the end of the time interval. During the period, he faces both price and output uncertainties. In applying stochastic dynamic programming methods, this paper shows the effect of these risks on his consumption behavior. Further, the paper investigates his optimal hedging positions in the futures market over time and his optimal production decisions. Finally, implications of these results on the futures markets are discussed.