We derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum variance hedge ratios and larger than...

Hedgers located far from organized commodity exchanges suffer a mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers, but only to the extent that basis risk is small. Forward contracting allows hedgers to...

The American alligator has made a remarkable comeback from the brink of extinction. Commercial alligator production is emerging as an important industry in the South. The industry shows similarities to other livestock industries. This paper draws comparisons with other livestock industries to...

By using a stochastic frontier framework, the mutual effect of input use on production risk and inefficiency is investigated. Disentangling this mutual effect proves important for empirical reasons, at least when applied to west Tennessee cotton systems grown after various cover crops. The most...

Expected prices for storable commodities often lie below spot prices plus interest and marginal storage charges. Recently this gap has been explained as the value of a call option held by a representative storer whenever a positive probability exists that stocks could dwindle to zero. However,...

The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is nonzero. Futures and options are treated as substitute goods, and the properties of the resulting hedging demand system are explained. The overall...

The representative agent hypothesis is disputable on theoretical grounds because it is inconsistent with observed trading behavior and the existence of speculative markets. In such markets, the representative agent hypothesis implies agents hold homogeneous expectations. If this were true,...

Standard models of hedging behavior assume that hedgers wish to minimize net price variation. They treat variation as risk and fail to distinguish random variation at a specific point in time from pre-determined intertemporal variation. Recursive utility differentiates between random and...

Many studies have addressed the issues of the price relationships between spatially separated commodity markets. Such studies, which have policy relevance, provide information on the structure and the performance of the markets. Most of these studies, however, have been criticized for not...