The Demand for Hedging and the Value of Hedging Opportunities
放宽了传统对冲策略中无成本且仅存在单一期货市场的假设，分析了对冲需求如何取决于基差风险、价格风险及风险偏好，并计算了一般情况下一个和两个市场中对冲机会的边际与增量价值，以宾夕法尼亚州乳制品投入对冲为例。
Abstract Hedging strategies typically assume that hedging is costless and that only one futures market exists. When these assumptions are dropped, the demand for hedging is shown to depend on basis risk, price risk, and the hedger's risk preference. The marginal and incremental value of hedging opportunities are computed for the general cases of one and two markets and applied to the specific case of Pennsylvania dairy input hedging.