Hedging with Crop Yield Futures: A Mean‐Variance Analysis
研究芝加哥期货交易所的产量期货如何帮助企业管理价格和产量双重风险，发现同时使用产量和价格期货比仅用价格期货更能降低利润波动，但效果受产量期货方差和基差变化影响。
Abstract This investigation into the use of new Chicago Board of Trade yield futures to manage price and yield risks shows that a risk‐minimizing firm can reduce its variance of profit by hedging in both markets compared to hedging in price futures only. The greater the variance of the contract underlying yield, the less effective the two‐instrument hedge. Hedging effectiveness of the dual strategy also depends on the price and yield bases, and the effect of a change in either basis depends on whether the established crop yield futures position is short or long.