Improving wholesale beef and pork product cross hedging

Agribusiness ◽  
1996 ◽  
Vol 12 (6) ◽  
pp. 541-559 ◽  
Author(s):  
Marvin L. Hayenga ◽  
Bingrong Jiang ◽  
Sergio H. Lence
Keyword(s):  
2018 ◽  
Vol 17 (2) ◽  
pp. 123
Author(s):  
Noryati Ahmad ◽  
Ahmad Danial Zainudin ◽  
Fahmi Abdul Rahim ◽  
Catherine S F Ho

Since its establishment, Crude Palm Oil futures contract (FCPO) has been used to directly hedge its physical crude palm oil (CPO). However, due to the excessive speculation activities on crude palm oil futures market, it has been said to be no longer an effective hedging tool to mitigate the price risk of its underlying physical market. This triggers the need for market players to find possible alternatives to ensure that the hedging role can be executed effectively. Thus this investigation attempts to examine whether other inter-related grains and oil seed futures contracts could serve as effective cross-hedging mechanisms for the CPO. Weekly data of inter-related futures contracts from Chicago Board of Trade (CBOT) and Dalian Commodity Exchange (DCE) are employed to cross hedge the physical crude palm oil prices. The study starts from 2006 until 2016. Empirical results indicate that FCPO is still the best futures contract for hedging purposes while Chicago Soybean (CBOTBO) provides second best alternative if cross-hedging is considered. Keywords: Crude palm oil, Crude palm oil futures, Cross Hedging, Optimal Hedge Ratio, Effective Hedging


2020 ◽  
Vol 14 (2) ◽  
Author(s):  
Jan Bauer

AbstractI study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging performance. In this paper, I model the financial market based on correlated geometric Brownian motions and analyze the risk management for a pool of stylized GMAB contracts. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company. Comparing several cross-hedging strategies, I observe very similar hedging performances. Particularly, I find that well-established but complex strategies from mathematical finance do not outperform simple and naive approaches in the context studied. Diversification, however, could help to reduce the adverse impact of basis risk.


2017 ◽  
Vol 57 (12) ◽  
pp. 2331 ◽  
Author(s):  
D. N. D'Souza ◽  
D. Cleary ◽  
R. J. E. Hewitt

Pork is the most consumed meat globally, but its consumption varies widely across the major pork-consuming nations. Consumers consider a wide variety of intrinsic and extrinsic cues, and credence attributes, when making purchasing and consumption decisions for food products. Brand recognition has been an important extrinsic cue for consumers, especially in the case of pork-product quality. However, the branding of fresh pork products in Australia has not been very prominent, due to the dominance of retailer ‘home-brand’ labels. However, increasingly these retailer labels are using information and branding relating to adjectives (credence attributes), for example, animal welfare, production systems, environment. The role of these credence attributes in Australia are now very much regarded by consumers as surrogate indicators of pork quality. The present paper will look at consumer preferences and attitudes to pork and the role credence attributes play when consumers purchase pork. In addition, the paper looks at the role of retailers in delivering pork with adjectives.


1983 ◽  
Vol 3 (4) ◽  
pp. 429-438 ◽  
Author(s):  
Andrew J. Senchack ◽  
John C. Easterwood
Keyword(s):  

1997 ◽  
Vol 1 (1) ◽  
pp. 23-46 ◽  
Author(s):  
Andrea L. DeMaskey ◽  

2019 ◽  
Vol 119 ◽  
pp. 110-118 ◽  
Author(s):  
Pannita Santiyanont ◽  
Kanittha Chantarasakha ◽  
Preenapha Tepkasikul ◽  
Yanee Srimarut ◽  
Wuttichai Mhuantong ◽  
...  

1986 ◽  
Vol 18 (1) ◽  
pp. 123-128 ◽  
Author(s):  
Emmett W. Elam ◽  
Stephen E. Miller ◽  
Shelby H. Holder

AbstractFeasibility of forward pricing sales of rice bran via cross-hedging was investigated. Corn, oats, wheat, and soybean meal futures were considered as simple and multiple cross-hedging media. Simulation results indicated that simple cross-hedging using corn futures would be most effective in reducing price risks.


2002 ◽  
Vol 27 (2) ◽  
pp. 95-122 ◽  
Author(s):  
F. Douglas Foster ◽  
Charles H. Whiteman
Keyword(s):  

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