Portfolio Theory and the Demand for Futures: The Case of California Cotton
研究加州棉农如何同时选择种植模式和期货头寸，发现套期保值成本及通过种植其他作物分散风险的机会会显著改变最优套期保值策略。
Abstract This paper examines the simultaneous choice of cropping patterns and futures positions. It derives the demand for hedging as a function of the price of a hedge and the crop choice set; it estimates these functions for California cotton farmers. It finds that both the costs of hedging and the opportunity to diversify risk by growing other crops substantially change the optimal hedge for California cotton farmers.