The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen’s cointegration approach for three different cashmarkets and six different futures forecasting horizons ranging from1 week to 4 months.The results suggest a...

A method of stochastic dominance analysis with respect to a function (SDRF) is described and illustrated. The method, called stochastic efficiency with respect to a function (SERF), orders a set of risky alternatives in terms of certainty equivalents for a specified range of attitudes to risk....

This article examines the case of a risk‐averse mining firm facing a resource rent tax in order both to incorporate the role of the risk‐sharing quality of such a tax and to assess its implications given a government’s lease allocation system. The model develops the conditions required for...

Decision‐making in agriculture is carried out in an uncertain environment with farmers often seeking information to reduce risk. As a result of the extreme variability of rainfall and stream‐flows in north‐eastern Australia, water supplies for irrigated agriculture are a limiting factor...

Investment decisions are not only characterised by irreversibility and uncertainty but also by flexibility with regard to the timing of the investment. This paper describes how stochastic simulation can be successfully integrated into a backward recursive programming approach in the context of...

Farmers in developing countries have limited opportunities for borrowing to even out variability associated with risky farm income, but they can save. A dynamic programming model of savings is presented in the current paper which examines optimal savings strategies for farmers, using a case...

The standard approach to modelling production under uncertainty has relied on the concept of the stochastic production function. In the present paper, it is argued that a state‐contingent production model is more flexible and realistic. The model is applied to the problem of drought policy.

This review article describes the main contributions in the literature on commodity futures markets. It is argued that modern studies have focused primarily on technical questions, with insufficient economic content. More research needs to be directed towards understanding fundamental economic...

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an `average' wheat farmer was found to be zero under reasonable assumptions about...

This study explores the potential for risk reduction by New Zealand farmers through the diversification of their farm asset portfolios to include financial investments such as ordinary industrial shares, government bonds and bank bills. Low correlations between rates of return on farm and these...