Production Flexibility, Stochastic Separation, Hedging, and Futures Prices
构建动态模型，研究中间产出调整的不确定性如何导致生产者面临价格、成本和产出风险，分析期货合约实现随机分离的条件，并探讨最优对冲、期货期限结构、均衡期货价格及期货交易对产出的影响。
We study a dynamic model where uncertainty about interim output adjustments causes producers to face price, cost and output uncertainty. Stochastically separable production decisions are independent of the producer’s risk preferences and expectations and are based on the prevailing futures price as a certain output price. Conditions under which futures contracts achieve stochastic separation are established. Optimal hedging and maturity structure of futures contracts, equilibrium futures prices, and the effects of futures trading on output are studied. The systematic risk premium depends on the product of the futures beta and the covariance of the market return with production revenues.