A Note on Futures Markets with Small Price and Production Risks
当现货价格和生产风险联合正态分布时，均值方差方法缺乏理论依据。本文用泰勒近似证明：农民在期货价格低于或等于预期现货价格时套保少于预期产量；面临生产风险的农民产量更低；正常交割延期费或升水的出现取决于现货价格与生产风险的相关性。
When the spot price and production risk are jointly normally distributed, the mean-variance approach has little theoretical justification. The authors use Taylor approximations instead and show the three results. One, farmers hedge less than expected production when the futures price is less than or equal to the expected spot price. Two, when the futures price equals the expected spot price, farmers facing production risk produce less than those without production risk. Three, normal backwardation (contango) prevails in the markets when correlation between the spot price and production risk is smaller (greater) in absolute value than the ratio of coefficients of variation of these variables. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.