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The Optimal Hedge Ratio in Unbiased Futures Markets.

Authors

Simon Benninga, Rafael Eldor, Itzhak Zilcha

Publication date

1984/6/1

Journal

Journal of futures markets

Volume

Issue

Description

Determines the optimal hedge ratio in unbiased futures markets. Analysis on the variance of producers income; Identification on the quantity of commodity at a given market price; Relationship between futures and spot prices.

Total citations

Cited by 281

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Scholar articles

The Optimal Hedge Ratio in Unbiased Futures Markets.

S Benninga, R Eldor, I Zilcha - Journal of futures markets, 1984