Optimal Dynamic Hedging Decisions for Grain Producers
研究北卡罗来纳州一个县的最优动态对冲模型，预测玉米产量、基差和期货价格，发现频繁更新对冲头寸相比固定对冲的收益并不显著。
Abstract The application of an optimal dynamic hedging model was explored for a county in North Carolina. Corn yield, harvest corn basis, and December corn futures prices were forecast. The forecasts were used to calculate optimal dynamic hedge positions. When the hedge position was updated infrequently, commissions were only slightly higher than commissions from a fixed hedge. Gains from updating the hedge position over the corn growing season were not substantial compared to a fixed hedge position.