Authors
Simon Benninga, Rafael Eldor, Itzhak Zilcha
Publication date
1983/1/1
Journal
Economics Letters
Volume
13
Issue
2-3
Pages
141-145
Publisher
North-Holland
Description
We show that there exists a simple optimal hedging rule in the futures markets, for all risk averse decision makers, given that (a) futures price today is an unbiased predictor of the futures price next period, (b) basis is independent of the spot price.
Total citations
Scholar articles
S Benninga, R Eldor, I Zilcha - Economics Letters, 1983